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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 …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

Persistent link: https://www.econbiz.de/10011772268

Default Risk in Corporate Yield Spreads

Dionne, Georges - 2010

An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...

Persistent link: https://www.econbiz.de/10012717692

The role of social media in the corporate bond market : evidence from Twitter

Bartov, Eli; Faurel, Lucile; Mohanram, Partha - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5638-5667

Persistent link: https://www.econbiz.de/10014392963

Informed bond trading, corporate yield spreads, and corporate default prediction

Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694

Persistent link: https://www.econbiz.de/10010347894

Defaults and returns in the high-yield bond market : third-quarter 2013 review

Altman, Edward I.; Kuehne, Brenda J. - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 269-296

Persistent link: https://www.econbiz.de/10011949626

Recovery and returns of distressed bonds in bankruptcy

Wang, Wei - In: The journal of fixed income 21 (2011) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10009314972

Corporate innovation, default risk, and bond pricing

Hsu, Po-Hsuan; Lee, Hsiao-Hui; Liu, Alfred Zhu; Zhang, … - In: The journal of corporate finance : contracting, … 35 (2015), pp. 329-344

Persistent link: https://www.econbiz.de/10011421078

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - 2017

Persistent link: https://www.econbiz.de/10011947771

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

Bond yield effects of corporate bond default : evidence from bond default events of 2014-2022

Wang, Hui; Li, Jiarui; Luo, Yixuan - In: Finance research letters 60 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014490413