The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used to settle these contracts, replacing physical transfers...

Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to disentangle the two factors empirically. In this paper we separate out the credit risk component by examining bonds that are issued by the same firm and that trade on the same day. Our sample of bond...

This paper investigates the impact of debt covenant protection on the cross section of equity returns with a firm-level covenant index and four sub-indices. We find that firms with weaker covenant protection (lower covenant index levels) earn significantly higher risk-adjusted equity returns...

We define high cost lenders as lenders that issue a disproportionate number of high cost loans. We develop a shift-share measure to capture the market representation of these high cost lenders in housing submarkets. After conditioning on housing submarket fixed effects, origination year fixed...

The dramatic expansion of the education system and the transformation of the economy in China provide an opportunity to investigate how the labor market rewards skills. Between 2007 and 2018, the overall return to cognitive skills is virtually constant at 10%, whereas the college premium drops...

This paper studies how stock market sentiment impacts corporate bond valuations. Using bond transactions from the Trading and Compliance Engine (TRACE), we find that sentiment is negatively related to bond yield spreads, with the impact being stronger after the onset of the recent credit crisis....

We construct a theoretical framework to investigate the impact of liquidity risk, in the secondary corporate debt market, on corporate risk-taking preferences. Using closed-form solutions, our model shows that equity holders choose to adopt high-risk projects upon the arrival of illiquidity...