investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond … anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger and more …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

In this paper, we empirically explore risk premia in mortgage covered bond markets. Using a large panel data set of … of high importance for explaining risk premia in covered bond markets …

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

Using a 2009-2019 sample of Chinese bond issuers, we examine the effect of carbon risk on bond financing costs …. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because … their credit risk is greater and they invest the funds in non-green projects. This positive relationship is more pronounced …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

bond markets and the US stock market. We measure risk by the higher order moments (volatility, skewness, and excess … relationship between returns and risk. When we consider the effects of good and bad volatility separately, the risk-return trade …We analyze the risk-return trade-off for international (France, Germany, Netherlands, Spain, UK, and US) government …