This paper investigates how sovereign bond investors assess the performance of the government by investigating cumulative abnormal sovereign bond returns surrounding national elections. For a sample of 101 election events in 45 emerging markets, we find robust evidence for a positive market...

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...