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Endogenous Liquidity and Defaultable Bonds
He, Zhiguo - 2012
liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … premium and default premium for credit spreads, we also study the optimal maturity implied by the model based on the tradeoff …
Persistent link: https://www.econbiz.de/10012460252
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Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads
Chen, Hui - 2012
-varying debt maturity choices, as well as its implications for the term structure of credit spreads. Compared to short-term debt … liquidity costs changing over the business cycle, our calibrated model implies that debt maturity is pro-cyclical, firms with … high systematic risk favor longer debt maturity, and that these firms will have more stable maturity structures over the …
Persistent link: https://www.econbiz.de/10012460293
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Bond Supply and Excess Bond Returns
Greenwood, Robin - 2008
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …
Persistent link: https://www.econbiz.de/10012464841
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Self-Fulfilling Debt Crises : A Quantitative Analysis
Bocola, Luigi - 2016
This paper uses the information contained in the joint dynamics of government's debt maturity choices and interest rate … borrowing featuring endogenous debt maturity, risk averse lenders and self-fulfilling rollover crises á la Cole and Kehoe (2000 …-fulfilling defaults. These two sources of default risk have contrasting implications for the debt maturity choices of the government …
Persistent link: https://www.econbiz.de/10012455986
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Exorbitant Privilege? Quantitative Easing and the Bond Market Subsidy of Prospective Fallen Angels
Acharya, Viral V.; Banerjee, Ryan; Crosignani, Matteo; … - National Bureau of Economic Research - 2022
We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels -- risky firms just above the IG rating cutoff -- enjoyed subsidized bond financing since 2009, especially when the scale of QE purchases...
Persistent link: https://www.econbiz.de/10012938746
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Pledgeability and Asset Prices : Evidence from the Chinese Corporate Bond Markets
Chen, Hui - 2019
We provide causal evidence for the value of asset pledgeability. Our empirical strategy is based on a unique feature of the Chinese corporate bond markets, where bonds with identical fundamentals are simultaneously traded on two segmented markets that feature different rules for repo...
Persistent link: https://www.econbiz.de/10012480464
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Measuring the Perceived Liquidity of the Corporate Bond Market
Chernenko, Sergey - 2020
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross-sectional relationship between mutual fund cash holdings and fund flow volatility. Our measure captures how liquid funds perceive their portfolio holdings to be at a given...
Persistent link: https://www.econbiz.de/10012481676
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The Behavior of Intoxicated Investors : The role of institutional investors in propagating the crisis of 2007-2008
Manconi, Alberto - 2010
Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...
Persistent link: https://www.econbiz.de/10012462465
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Credit Market Shocks and Economic Fluctuations : Evidence from Corporate Bond and Stock Markets
Gilchrist, Simon - 2009
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond...
Persistent link: https://www.econbiz.de/10012463785
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The Bond Market's q
Philippon, Thomas - 2006
I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs much better than the usual measure in standard...
Persistent link: https://www.econbiz.de/10012466202