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Realized volatility, liquidity, and corporate yield spreads

Rossi, Marco - In: The quarterly journal of finance 4 (2014) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10010423791

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

Default risk in corporate yield spreads

Dionne, Georges; Gauthier, Geneviève; Hammami, Khemais; … - In: Financial management 39 (2010) 2, pp. 707-731

Persistent link: https://www.econbiz.de/10009500493

Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults

Meeks, Roland - In: Journal of economic dynamics & control 36 (2012) 4, pp. 568-584

Persistent link: https://www.econbiz.de/10009554335

Liquidity effects in corporate bond spreads

Helwege, Jean; Huang, Jing-Zhi; Wang, Yuan - In: Journal of banking & finance 45 (2014), pp. 105-116

Persistent link: https://www.econbiz.de/10010466623

Pricing default events : surprise, exogeneity and contagion

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411

Persistent link: https://www.econbiz.de/10010497742

Volatility morphology of asset value and credit spread puzzle

Hu, Xiao; Tian, Xinming; Wang, Kuitai - In: International journal of financial engineering 8 (2021) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10012655039

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

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

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

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