is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds. …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of … LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds …

transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … trading in corporate bonds and its ability to predict corporate defaults. We find that microstructure measures of information …

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the … adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on … each step of pricing. In the first section, we present simplified scheme when default can occur only at maturity. Next, we …

Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data … total returns on long-term corporate bonds and long-term government bonds. This excess return is used in empirical research … flawed in two ways: (1) it is not based on subtracting maturity-matched government bonds from corporate bonds, and therefore …