We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

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 … CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of …

towards a greener Europe. Thereby, the EU is not only entering the green bond market, but also set to become one of the … biggest green bond issuers. Consequently, financial market participants are eager to know what to expect from the EU as a new … green bond issuer and whether a negative green bond premium, a so-called Greenium, can be expected for the NGEU green bonds …