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Two-step estimation of linear models with ordinal unobserved variables : the case of corporate bonds

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Risk aversion and the yield of corporate debt

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Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market

Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203

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Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776

Forecasting corporate bond returns with a large set of predictors : an iterated combination approach

Lin, Hai; Wu, Chunchi; Zhou, Guofu - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4218-4238

Persistent link: https://www.econbiz.de/10011921514

The determinants of corporate bond yields

Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi - In: The quarterly review of economics and finance : journal … 49 (2009) 1, pp. 85-109

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Reduced-form valuation of callable corporate bonds : theory and evidence

Jarrow, Robert A.; Li, Haitao; Liu, Sheen; Wu, Chunchi - In: Journal of financial economics 95 (2010) 2, pp. 227-248

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Structural models of corporate bond pricing with personal taxes

Qi, Howard; Liu, Sheen; Wu, Chunchi - In: Journal of banking & finance 34 (2010) 7, pp. 1700-1718

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Are corporate bond market returns predictable?

Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of banking & finance 36 (2012) 8, pp. 2216-2232

Persistent link: https://www.econbiz.de/10009655644