: reducing the opportunity for managers to transfer value to equityholders from creditors via strategic default, and reducing the …

share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data … foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship … market moves ahead of the bond market in terms of price discovery. These findings are further supported by the Granger …

interest rates on the day the employment data are released finds no evidence that the bond market's reaction to employment news …

corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing … spreads, and bond liquidity measures including Bond-CDS spreads and bid-ask spreads in the data. Through a structural … quantitatively evaluate the effects of liquidity-provision policies for the corporate bond market …