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 …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

We study the effect of corporate exposure to weather on bond yield spread. We construct three firm-level weather … spread arises via firm fundamentals rather than from frictions in the bond market. We find that weather variations … significantly increase operating cash flow risk and equity volatility of the exposed firms, while bond illiquidity can hardly …

component in nominal bond yields. Surprisingly, prior literature finds little predictive power of oil price changes on bond … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other …, we observe insignificant effect on the bond risk premium. A two-sector New Keynesian model shows theoretically that real …

procedure, to estimate the yield differential between a green bond and an otherwise identical synthetic conventional bond from … July 2013 to December 2017. The results suggest a small negative premium: the yield of a green bond is lower than that of a … conventional bond. On average, the premium is -2 basis points for the entire sample as well as for EUR and USD bonds separately. We …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

and thus negatively predicts cross-sectional bond returns. Controlling for ratings, alphas are lower for higher …-yield bonds while, controlling for yields, alphas are lower for higher-rated bonds. Future bond returns are particularly low when …

In this paper we try to uncover the determinants of the 10-year Greek bond yield in both pre- and post-crisis period … more significant role as determinants of the 10-year Greek bond yield during the crisis than had before and second, during … speculation on the yield. These results are in line with other empirical studies and shed line to the motion of bond yield in an …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …