We use spatial panel data model analysis to study the international transmission of U.S. monetary policy shocks in the global equity and bond markets. Through this analysis, we decompose the overall effect of such a shock into 1) direct effects, 2) higher-order network effects transmitted...

This note investigates the determinants of subordinated bank yields during the COVID-19 pandemic phase in the United States. Using Google Trends, we construct a coronavirus fear index to test the effect of health risk on the subordinated bond yields of 7 bank holding companies. With panel...

Are dealers' search efforts endogenous in decentralized markets? How do dealers' search efforts affect market efficiency? We propose a model with dealers choosing idiosyncratic search intensities, and estimate the model using transaction data on U.S. corporate bonds. We find that: [1] with...

Bond prices from 1897 to 1926 have not been compiled. Financial historians have made do with yield series offered by Macaulay (1938) or with yield summaries found in Durand (1942), Hickman (1958), or Homer (1963). Where holding period returns have been of interest (Siegel 2014), these have been...

From 1857 scholars have relied on Macaulay (1938) to track changes in interest rates during the period before the Ibbotson data begin. Holding period returns, where of interest (e.g., Siegel 1992a, 1992b), have been calculated from summary yield inputs such as those tabulated by Homer (1963),...

US securities markets took root after Alexander Hamilton's refunding of the Federal debt in the early 1790s. Accordingly, a market in bonds has been in operation in the US for over two centuries. Until recently, however, little was known about bond market returns prior to 1857. This paper...

Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first case the focus is on the individual liquidity level while in the second case it is on the exposure to a common liquidity factor. In this paper we focus on the impact of the...