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Liquidity risk of corporate bond returns : conditional approach

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386

Persistent link: https://www.econbiz.de/10010208670

Downside risk and defaultable bond returns

Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110

and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of …

Persistent link: https://www.econbiz.de/10013206142

Are the Fama-French factors really compensation for distress risk?

Groot, Wilma de; Huij, Joop - In: Journal of international money and finance 86 (2018), pp. 50-69

Persistent link: https://www.econbiz.de/10012000470

How much can illiquidity affect corporate debt yield spread?

Abudy, Menachem; Raviv, Alon - In: Journal of financial stability 25 (2016), pp. 58-69

Persistent link: https://www.econbiz.de/10011704784

Investors’ valuation for asset liquidity and the corporate-treasury yield spread

Niestroj, Benjamin - In: International journal of economics and finance 6 (2014) 10, pp. 1-16

Persistent link: https://www.econbiz.de/10010421663

Liquidity Risk and Yield Spreads of Green Bonds

Wulandari, Febi - 2018

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-speciﬁc characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we ﬁnd that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

Persistent link: https://www.econbiz.de/10012921889

Liquidity risk and yield spreads of green bonds

Wulandari, Febi; Schäfer, Dorothea; Stephan, Andreas; … - 2018

Persistent link: https://www.econbiz.de/10011810163

Estimation of Credit Spread Correlations

Perraudin, William Robert Maurice - 2011

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...

Persistent link: https://www.econbiz.de/10013118349

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

Extreme illiquidity and cross-sectional corporate bond returns

Chen, Xi; Wang, Junbo; Wu, Chunchi; Wu, Di - In: Journal of financial markets 68 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014491074

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