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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

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

Volatility and the cross-section of corporate bond returns

Chung, Kee H.; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 133 (2019) 2, pp. 397-417

Persistent link: https://www.econbiz.de/10012165603

Extreme illiquidity and cross-sectional corporate bond returns

Chen, Xi; Wang, Junbo; Wu, Chunchi; Wu, Di - In: Journal of financial markets 68 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014491074

Voluntary disclosure in P2P lending : information or hyperbole?

Wang, Chao; Wang, Junbo; Wu, Chunchi; Zhang, Yue - In: Pacific-Basin finance journal 79 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014463163

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 Cross-Section of Credit Risk Premia and Expected Corporate Bond Returns

Wang, Junbo; Wu, Chunchi; Zhao, Zhenling - 2021

Using implied-CDS risk premium measures, we find that these variables have higher explanatory power for cross-sectional bond returns than the traditional default spread and ratings. The positive effect of the credit risk premium (CRP) factor on expected returns is pervasive, stronger for...

Persistent link: https://www.econbiz.de/10013232600

Enactment of default point in KMV model on CMBC, SPDB, CMB, Huaxia Bank and SDB

Huang, Feixue; He, Yan - In: International journal of financial research 1 (2010) 1, pp. 30-36

Persistent link: https://www.econbiz.de/10009305957

Pricing of swaps with default risk

Li, Haitao - In: Review of derivatives research 2 (1998) 2/3, pp. 231-250

Persistent link: https://www.econbiz.de/10001497946

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