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Realized volatility, liquidity, and corporate yield spreads

Rossi, Marco - In: The quarterly journal of finance 4 (2014) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10010423791

The default and liquidity premia of corporate bonds : evidence from the trade reporting and compliance engine

Ahn, Yongkil - In: Applied economics letters 28 (2021) 15, pp. 1271-1276

Persistent link: https://www.econbiz.de/10012609650

Corporate bond liquidity and yield spreads : a review

Goldstein, Michael A.; Namin, Elmira Shekari - In: Research in international business and finance 65 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014432492

Commonality in liquidity in the US corporate bond market

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016

Persistent link: https://www.econbiz.de/10011733594

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Are corporate bond defaults contagious across sectors?

Ellis, Colin - In: International Journal of Financial Studies : open … 8 (2020) 1/1, pp. 1-17

Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors-specifically, defaults in one sector leading to credit stresses in other sectors of the...

Persistent link: https://www.econbiz.de/10012168967

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 9-51). 2016

Persistent link: https://www.econbiz.de/10011733591

Forecasting credit default swap premiums with Google search volume

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016

Persistent link: https://www.econbiz.de/10011733592

Did liquidity providers become liquidity seekers?

Choi, Jaewon; Shachar, Or - 2013

-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce …, including proprietary trading desks in investment banks, provided liquidity in response to the large selling by clients …. Corporate bond inventory of dealers rose sharply as a result. Although providing liquidity, limits to arbitrage, possibly in the …

Persistent link: https://www.econbiz.de/10010202650

Can structural models price default risk? : evidence from bond and credit derivative markets

Ericsson, Jan; Reneby, Joel; Wang, Hao - In: The quarterly journal of finance 5 (2015) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011381483

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