This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

authorities in achieving a better understanding of the current situation of the green bond market in global terms …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

measures as well as a number of variables that control for both the characteristics of the issuing firm and the bond … for the risk of the bond. Economically, the size of the liquidity premium of Mittelstand bonds is approximately twice the …

, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between … bond illiquidity and synchronicity, and this empirical relation remains after applying robustness checks and endogeneity … controls. Consistent with theoretical model implications, the effect of bond illiquidity as information friction is more …

picture. The objective of this paper is to assess the impact of low-carbon policy upon European bond returns. This is done by … statistically significant proxy for the risk factor in bond returns related to EU-ETS compliance, the GMC factor, and shows the … presence of a statistically significant green premium in the European bond market. Furthermore, evidence is found that the …

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market … prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its … implement the model using corporate bond transaction data from the United States and a rating agency transition matrix to …