spreads as it modifies both the level and shape of the curves. When a bond portfolio is considered, the presence of dependence …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

We develop a methodology to study the linkages between equity and corporate bond risk premia and apply it to a large … panel of corporate bond transaction data. We and that a significant part of the time variation in bond default risk premia … can be explained by equity implied bond risk premium estimates. We compute these estimates using a recent structural …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …