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The role of social media in the corporate bond market : evidence from Twitter
Bartov, Eli; Faurel, Lucile; Mohanram, Partha - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5638-5667
Persistent link: https://www.econbiz.de/10014392963
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Bond yield effects of corporate bond default : evidence from bond default events of 2014-2022
Wang, Hui; Li, Jiarui; Luo, Yixuan - In: Finance research letters 60 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014490413
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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...
Persistent link: https://www.econbiz.de/10014497430
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Measuring the Perceived Liquidity of the Corporate Bond Market
Chernenko, Sergey - 2020
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …
Persistent link: https://www.econbiz.de/10012481676
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Default Propensity Implicit in Pulled to Par Vr for Bonds
L. Esquível, Manuel - 2020
– at any reference date before maturity – implicit default propensities from observed bond quotes. This method is new to … propensity and the more traditional notions of default probability and recovery given default of a bond …
Persistent link: https://www.econbiz.de/10012828828
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A closed formula for illiquid corporate bonds and an application to the European market
Baviera, Roberto; Nassigh, Aldo; Nastasi, Emanuele - In: Journal of international financial markets, … 71 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012800079
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The Mills Ratio and the Behavior of Redeemable Bond Prices in the Gaussian Structural Model of Corporate Default
Spencer, Peter - 2017
This paper shows that forward default intensities in the Black and Cox (1976) model of corporate default can be expressed in terms of the Mills Ratio (Mills, 1926). The behavior of the forward default intensity and hence the survivorship functions then follows from inequalities that are...
Persistent link: https://www.econbiz.de/10012954783
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Is Post-Crisis Bond Liquidity Lower?
Anderson, Mike - 2017
Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …
Persistent link: https://www.econbiz.de/10012958984
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Shifting Tides – Market Liquidity and Market-Making in Fixed Income Instruments
Fender, Ingo - 2015
and divergence of liquidity conditions across different fixed income markets. Market-making is concentrating in the most … could help buttress market liquidity …
Persistent link: https://www.econbiz.de/10013025989
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Shifting Tides - Market Liquidity and Market-Making in Fixed Income Instruments
Fender, Ingo - 2015
and divergence of liquidity conditions across different fixed income markets. Market-making is concentrating in the most … could help buttress market liquidity …
Persistent link: https://www.econbiz.de/10013026032