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 …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

I demonstrate that much of the time series variation in the credit spread on high yield bonds is attributable to … excess return investors earn from bearing default risk on high yield bonds. I find that the credit risk premium on high yield … bonds averages about 2.4 percent per year, accounts for 43 percent of high yield credit spreads, on average, and predicts …