This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data. We augment the standard macroeconomic proxy set by text-based measures of country and global fundamentals from a database of Reuters news articles between 2007 and 2016....

This paper investigates liquidity changes in the corporate CDS market around two events that increased market transparency and standardization during the financial crisis: the regular dissemination of CDS positions by DTCC starting November 2008, and the implementation of the Small Bang in June...

We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model features a representative agent who has recursive preferences with a time preference shock, a persistent component in expected consumption growth, and stochastic volatility in...

Corporate credit default swap (CDS) premium is the market price of credit risk posed by a corporate obligor. Although corporate CDS are commonly used for risk benchmarking in accounting and credit risk management, liquid CDS are limited to less than 500 corporate names globally. CDS users must...

Corporate credit default swap (CDS) premium is the market price of credit risk posed by a corporate obligor. Although corporate CDS are commonly used for risk benchmarking in accounting and credit risk management, liquid CDS are limited to less than 500 corporate names globally. CDS users must...