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

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 …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody …

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 …

Big 4 Auditors are also less likely to include Default Indicating covenants in their bonds. Further tests show that the …

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …

This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in … long time. -- liquidity trap ; financial crisis ; rare disasters ; equity capital ; leverage ; bankruptcy risk …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … obtain a sublinear pricing measure for additional contracts. Similar to the forward measure approach, we define a forward … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …