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Investor Attention and Municipal Bond Returns
Cornaggia, Kimberly J. - 2020
We analyze the extent to which investors in opaque markets price information from more transparent markets. Exploiting the natural experiment created by bond-insurer insolvency, we show that municipal bond investors ignore insurers' equity prices and CDS premia, yet react to insurers'...
Persistent link: https://www.econbiz.de/10012853733
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Credit Contagion from Counterparty Risk
Jorion, Philippe - 2014
effects of bankruptcy announcements on creditors using a unique database. On average, creditors experience severe negative … abnormal equity returns and increases in CDS spreads. In addition, creditors are more likely to suffer from financial distress … later. These effects are stronger for industrial creditors than financials. Simulations calibrated to these results indicate …
Persistent link: https://www.econbiz.de/10013071217
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2014 - This version: August 28, 2014
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …
Persistent link: https://www.econbiz.de/10010403525
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - 2014 - This version: December 12, 2014
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …
Persistent link: https://www.econbiz.de/10010459209
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - 2015 - This version: August 14, 2015
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …
Persistent link: https://www.econbiz.de/10011308600
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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...
Persistent link: https://www.econbiz.de/10012921889
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob Wellendorph - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056
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Securitization and asset prices
Aksoy, Yunus; Basso, Henrique S. - 2015
During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more...
Persistent link: https://www.econbiz.de/10010479921
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Prices and volatilities in the corporate bond market
Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015
We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and Huang (2012), we apply a decomposition methodology to...
Persistent link: https://www.econbiz.de/10011772268
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Collateral Affects Return Risk : Evidence From the Euro Bond Market
Helberg, Stig - 2019
Covered bonds and senior bonds are important securities for fixed income investors. Senior bonds are unsecured, while covered bonds are secured and backed by collateral. Our results show that collateral reduces the total risk in individual bonds by more than 70%. Compared to diversified...
Persistent link: https://www.econbiz.de/10012871548