This classroom experiment introduces students to the notion of credit risk by allowing them to trade on comparable corporate bond issues from two types of markets - investment-grade and high-yield. Investment-grade issues have a lower probability of default than high-yield issues, and thus...

This classroom experiment introduces students to the notion of credit risk and expected return, by allowing them to trade on comparable corporate bond issues from two types of markets: investment-grade and high-yield markets. Investment-grade issues have a lower probability of default than...

Using Treasury and corporate bond market data, I examine the propagation of firm-specific shocks as well as market-wide shocks between 1995-2003, testing the implications of previously proposed channels of contagion. I find little support for the economic fundamental hypothesis. Consistent with...

We find a strong systematic component in coupon spreads - the differences between notes' values and the values of replicating portfolios of fungible strips - that is strengthening over time. The first factor in coupon spreads is correlated with Hu, Pan, and Wang's (2011) measure of arbitrage...

We estimate a widely cited consumption-based asset pricing model using fully Bayesian MCMC method. Although the model is generally consistent with consumption and dividend growth moments in annual data, the conditional mean of consumption growth (a latent process) is not persistent enough to...