Similar Search Results

How much of the corporate bond spread is due to personal taxes?

Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 85 (2007) 3, pp. 599-636

Persistent link: https://www.econbiz.de/10003546278

Liquidity risk and expected corporate bond returns

Lin, Hai; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 99 (2011) 3, pp. 628-650

Persistent link: https://www.econbiz.de/10009242273

Volatility and the cross-section of corporate bond returns

Chung, Kee H.; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 133 (2019) 2, pp. 397-417

Persistent link: https://www.econbiz.de/10012165603

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776

The Cross-Section of Credit Risk Premia and Expected Corporate Bond Returns

Wang, Junbo; Wu, Chunchi; Zhao, Zhenling - 2021

Using implied-CDS risk premium measures, we find that these variables have higher explanatory power for cross-sectional bond returns than the traditional default spread and ratings. The positive effect of the credit risk premium (CRP) factor on expected returns is pervasive, stronger for...

Persistent link: https://www.econbiz.de/10013232600

Evaluating asset pricing models using the second Hansen-Jagannathan distance

Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan - In: Journal of financial economics 97 (2010) 2, pp. 279-301

Persistent link: https://www.econbiz.de/10008648200

Structural models of corporate bond pricing with personal taxes

Qi, Howard; Liu, Sheen; Wu, Chunchi - In: Journal of banking & finance 34 (2010) 7, pp. 1700-1718

Persistent link: https://www.econbiz.de/10008649408

Incomplete-information capital market equilibrium with heterogeneous expectations and short sale restrictions

Wu, Chunchi; Li, Qiang; Wei, K. C. John - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 119-136

Persistent link: https://www.econbiz.de/10001467541

The heterogeneous investment horizon and the capital asset pricing model : theory and implications

Lee, Cheng F. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 3, pp. 361-376

Persistent link: https://www.econbiz.de/10001096419