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Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads

Kahlert, Dennis - 2017

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … and market liquidity spread components in government bonds and investigate their dynamics across the Euro Area. Short … analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …

Persistent link: https://www.econbiz.de/10012969408

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...

Persistent link: https://www.econbiz.de/10011810905

Creditor Rights, Claims Enforcement, and Bond Returns in Mergers and Acquisitions

Renneboog, Luc - 2016

By means of an international sample of cross-border mergers and acquisitions (M&As) involving firms with outstanding Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is sensitive to cross-country differences in creditor...

Persistent link: https://www.econbiz.de/10012996646