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

This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave … pronounced among the non-SOE bonds and low-rated bonds. Our evidence suggests that breaking the expectation of rigid redemption … increases the effectiveness of price discovery in China's capital market. As liquidity concern starts to play a nontrivial role …

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 …

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 …

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 …

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 …

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity … imposed on dealers were found to be negatively linked with the liquidity level of sovereign 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. …

term bonds receive higher returns than investors in similar (i.e.\ same default risk) shorter maturity bonds over the same … the consumption based capital asset pricing model. In contrast, we harken to an older empirical literature which … attributes the term premium to the idea that short maturity bonds are inherently more liquid. The goal of this paper is to …