, the announcement produced substantial spillover effects on risk premia. Credit risk premia declined, both in the corporate … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

assume that credit risk premiums for high quality firms monotonously increase with maturity. We find evidence suggesting that … bonds issued at maturities attracting the highest issuance volumes tend to have credit risk premiums that are on average 10 …