We study how debt market frictions that constrain the ability of firms to buffer a tightening in bank credit supply affect corporate yield spreads. We focus on the frictions driven by the regional availability of debt financing. We provide evidence of a strong regional segmentation in the debt...

This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro-denominated investment grade and noninvestment grade bonds covering the period January 2004 to October 2016. Our empirical findings reveal that momentum is mainly concentrated among...

We examine monthly excess returns for 23 Euro-denominated corporate bond indices and propose a new specification for bond asset pricing models. Specifically, we separate level and slope components of term and default risk factors and examine liquidity risk. Our results suggest that level and...

This paper examines common risk factors in Euro-denominated corporate bond returns before and after recent financial crisis. Our results suggest that level and slope of interest rate and default spread term structures significantly improve the explanatory power of asset pricing models for the...

European Banking-M&A — Die Kapitalmarktperspektive: Definition und Abgrenzung -- Aufbau der empirischen Analyse zur Bestimmung der Aktienkursreaktionen -- Aktienkursreaktionen auf Übernahmen börsennotierter Targets -- Aktienkursreaktionen auf Übernahmen nicht börsennotierter Targets --...

In this study we highlight the importance of liquidity risk, especially in periods of market stress, and advocate in favour of an explicit consideration of a liquidity premium when using mark-to-model methodologies to value financial assets.For European corporate bonds, we show that the...

In this paper we present an analysis of diversification strategies on portfolios of European corporate bonds. From the perspective of a U.S.-based investor we study whether mean-variance diversification strategies change as a result of the introduction of the European Economic and Monetary Union...