Financial crises and economic downturns provide a unique opportunity to investigate the
behavior of investors and financial instruments and shed light in the market's anticipation of …

We investigate the extent to which belonging to a sustainable index leads to lower financing
costs for companies in the energy industry. From an extensive sample that includes all …

Spain enacted a number of important debt management initiatives in 1997 to prepare its
Treasury bond market for European Monetary Union. We interpret the impacts of these …

We examine the price impact of different components of liquidity throughout the lifetime of
the US Treasury bond. Using the GovPX dataset, we provide a comprehensive empirical …

The aim of this paper is the analysis of the yield spreads between Treasury and non–
Treasury Spanish fixed income assets and its relationship with the term to maturity. We find a …

This study examines factors that significantly affect the sovereign sukuk market liquidity in
Indonesia. The study uses panel regression to determine how macroeconomic factors and …

In this paper, we estimate the term structure of interest rate volatilities. It is well known that
volatility is the main input for option and other fixed income derivatives valuation models …

This article proposes and empirically tests a two-step model to forecast the downgrade
probability of sterling-denominated Eurobonds. In the first step, the conditional expectation …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

The importance of maintaining sufficient liquidity in financial markets is emphasised strongly
in the academic literature. During the 1990s the United Kingdom monetary authorities …