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The informativeness of corporate bond trades

Chen, Peter; Wang, Junbo; Wu, Chunchi - In: Review of Pacific Basin financial markets and policies 14 (2011) 3, pp. 367-428

Persistent link: https://www.econbiz.de/10009312112

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

Persistent link: https://www.econbiz.de/10010509587

Further evidence of momentum in corporate bond returns

Lin, Hai; Tao, Xinyuan Stacie; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 65-97

Persistent link: https://www.econbiz.de/10012601390

Volatility and the cross-section of corporate bond returns

Chung, Kee H.; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 133 (2019) 2, pp. 397-417

Persistent link: https://www.econbiz.de/10012165603

Jump and volatility risk in the cross-section of corporate bond returns

Chen, Xi; Wang, Junbo; Wu, Chunchi - In: Journal of financial markets 60 (2022), pp. 1-29

Persistent link: https://www.econbiz.de/10013397876

Volatility and the Cross-Section of Corporate Bond Returns

Chung, Kee H. - 2018

This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016. Results show that bonds with high volatility betas have low expected returns and this negative relation appears in all segments of corporate...

Persistent link: https://www.econbiz.de/10012917206