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Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

The effects of default and call risk on bond duration

Xie, Yan Alice; Liu, Sheen; Wu, Chunchi; Anderson, Bing - In: Journal of banking & finance 33 (2009) 9, pp. 1700-1708

Persistent link: https://www.econbiz.de/10003872871

Dissecting corporate bond and CDS spreads

Lin, Hai; Liu, Sheen; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 3, pp. 7-39

Persistent link: https://www.econbiz.de/10008858616

On the calibration of structural credit spread models

Qi, Howard; Liu, Sheen; Wu, Chunchi - In: Annals of finance 5 (2009) 2, pp. 189-208

Persistent link: https://www.econbiz.de/10003813195

Counterparty credit risk in the municipal bond market

Chung, San-Lin; Kao, Chen-Wei; Wu, Chunchi; Yeh, Chung-Ying - In: The journal of fixed income 25 (2015) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10011399821

Default prediction with dynamic sectoral and macroeconomic frailties

Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226

Persistent link: https://www.econbiz.de/10010402234

Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market

Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203

Persistent link: https://www.econbiz.de/10010509587

Taxes, default risk, and credit spreads

Liu, Sheen; Wu, Chunchi - In: The journal of fixed income 14 (2004) 2, pp. 71-85

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Optimal trading and tax option value of defaultable bonds with asymmetric capital gain taxes

Chen, Peter Huaiyu; Liu, Sheen X.; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 27-62

Persistent link: https://www.econbiz.de/10012582240

Further evidence of momentum in corporate bond returns

Lin, Hai; Tao, Xinyuan Stacie; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 65-97

Persistent link: https://www.econbiz.de/10012601390