volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … risk accounts for a sizable portion of variations in the time-varying bond risk premium …We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and …