We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … 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 …

A new concept of credit spread for defaultable bond pricing is introduced in this paper. When combined with the …

Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry … in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the …

evidence on the informational value of bond ratings for financial investors. In this study we examine the relationship between … bond ratings and credit spreads for US corporate bonds using a Granger causality approach in panel data sets. The findings … indicate that ratings generally carry some informational value for corporate bond investors. The causal relationship is more …

terms of the level, impact, generality, and originality of firms' patents — is a determinant of bond issuers' perceived … default risk and, by extension, corporate bond pricing. Investors consider more technologically innovative bond issuers to …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …