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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

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

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

Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility

van Binsbergen, Jules H. - 2020

Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as well as -- if not better than -- their stock...

Persistent link: https://www.econbiz.de/10012481562

Reaching for Yield in the Bond Market

Becker, Bo - 2013

Reaching-for-yield--investors' propensity to buy riskier assets in order to achieve higher yields--is believed to be an important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond market. We show that insurance companies, the...

Persistent link: https://www.econbiz.de/10012459752

Repo and Securities Lending

Adrian, Tobias - 2012

We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the...

Persistent link: https://www.econbiz.de/10012460111

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

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

Overpricing in China’s Corporate Bond Market

Ding, Yi - 2020

Using a comprehensive dataset of Chinese corporate bond issuances, we uncover substantial evidence of issuance overpricing: the yield spread of newly issued bonds at their first secondary-market trading day is on average 5.35 bps higher than the issuance spread. This overpricing is robust across...

Persistent link: https://www.econbiz.de/10012479339

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