This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

picture. The objective of this paper is to assess the impact of low-carbon policy upon European bond returns. This is done by … statistically significant proxy for the risk factor in bond returns related to EU-ETS compliance, the GMC factor, and shows the … presence of a statistically significant green premium in the European bond market. Furthermore, evidence is found that the …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between … bond illiquidity and synchronicity, and this empirical relation remains after applying robustness checks and endogeneity … controls. Consistent with theoretical model implications, the effect of bond illiquidity as information friction is more …

Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …

The problem of decomposing bond portfolio holding period returns is addressed in this paper. Bond holding period …

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market … prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its … implement the model using corporate bond transaction data from the United States and a rating agency transition matrix to …

markets' interpretation of the stock split. We examine corporate bond issues around stock splits and find a significant … decline in the bond yield spread following stock splits, supporting the signaling hypothesis. We also confirm improvements in …

corporate bond yield changes and stock returns should be informative about firm level default risk of this corporate debt. In … estimate the contemporaneous correlation between firm level corporate bond yield changes and stock returns using daily data … evidence that as the stock-bond correlations increase in absolute value, the default risks of bonds increase, as expected. In …