We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of US stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly...

We estimate corporate bond portfolios using numerous asset-specific characteristics. Our portfolio weights accommodate a large cross-section and allow for a flexible management of turnover and liquidity. A portfolio tilted toward higher maturity, credit risk, coupon, momentum, and size...

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post-trade disclosure (the U.S.). We employ a unique regulatory...

We show that a firm's access to the corporate bond market is constrained by its bank's trading networks. Using a hand-collected dataset of aggregate portfolio transactions between a bank's securities dealer and their institutional investor's clients, we map the trading networks of banks'...

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post-trade disclosure (the U.S.). We employ a unique regulatory...

We empirically study how underwriters' inventory capacity effects corporate bond offerings. We find that allocations to relationship investors increase when inventory capacity across underwriters is low. The outsourcing of inventory by underwriters causes offerings of syndicates with stronger...

We study how changes in the economic and regulatory conditions alter the informativeness of credit ratings, accounting for securities' information acquisition costs. Using the financial crisis and the Dodd-Frank Act as shocks in the US corporate bond market, we find that the informativeness of...