dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

. Overwhelmingly, empirical studies emphasize that HFT improves the quality of financial markets in terms of increased liquidity …, liquidity and market capitalization on the Bulgarian capital market following the global financial crisis, concluding that the …

liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …, our model is structurally much simpler, while it also allows for correlation between liquidity and default premia, as …

CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization …, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react … Katrina an increased risk perception for hurricanes can be observed. -- CAT bonds ; financial crisis ; catastrophe events …

the NGEU bonds as green bonds, in order to confirm their commitment to sustainable finance and to support the transition … green bond issuer and whether a negative green bond premium, a so-called Greenium, can be expected for the NGEU green bonds …. This research paper formulates an expectation in regards to a potential Greenium for the NGEU green bonds, by conducting an …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This …

The comovement between returns to stocks and nominal Treasury bonds varies over time in both magnitude and direction …

of GDP-linked bonds, looks at when it might be most beneficial to issue, how investors might benefit, and possible ways …