Corporate yield spreads and bond liquidity
L Chen, DA Lesmond, J Wei - The journal of finance, 2007 - Wiley Online Library
We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity
measures covering over 4,000 corporate bonds and spanning both investment grade and …
measures covering over 4,000 corporate bonds and spanning both investment grade and …
Autoregressive conditional duration models in finance: a survey of the theoretical and empirical literature
M Pacurar - Journal of economic surveys, 2008 - Wiley Online Library
This paper provides an up‐to‐date survey of the main theoretical developments in
autoregressive conditional duration (ACD) modeling and empirical studies using financial …
autoregressive conditional duration (ACD) modeling and empirical studies using financial …
Corporate bond market transaction costs and transparency
Using a complete record of US over‐the‐counter (OTC) secondary trades in corporate
bonds, we estimate average transaction costs as a function of trade size for each bond that …
bonds, we estimate average transaction costs as a function of trade size for each bond that …
An empirical comparison of credit spreads between the bond market and the credit default swap market
H Zhu - Journal of financial services research, 2006 - Springer
This paper compares the pricing of credit risk in the bond market and the fast-growing credit
default swap (CDS) market. The cointegration test confirms that the theoretical parity …
default swap (CDS) market. The cointegration test confirms that the theoretical parity …
The role of information asymmetry and financial reporting quality in debt trading: Evidence from the secondary loan market
R Wittenberg-Moerman - Journal of Accounting and Economics, 2008 - Elsevier
I explore which firm and loan characteristics decrease or exacerbate information asymmetry
in the trading of private debt. I find that loans of public firms, loans with an available credit …
in the trading of private debt. I find that loans of public firms, loans with an available credit …
Has the CDS market lowered the cost of corporate debt?
AB Ashcraft, JAC Santos - Journal of monetary economics, 2009 - Elsevier
Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing
to firms by creating new hedging opportunities and information for investors. This paper …
to firms by creating new hedging opportunities and information for investors. This paper …
Secondary trading costs in the municipal bond market
LE Harris, MS Piwowar - The Journal of Finance, 2006 - Wiley Online Library
Using new econometric methods, we separately estimate average transaction costs for over
167,000 bonds from a 1‐year sample of all US municipal bond trades. Municipal bond …
167,000 bonds from a 1‐year sample of all US municipal bond trades. Municipal bond …
Corporate bond market transparency and transaction costs
Using TRACE data-a complete record of all US OTC secondary trades in corporate bonds-
we estimate average transaction cost as a function of trade size for each bond that traded …
we estimate average transaction cost as a function of trade size for each bond that traded …
Transaction costs, trade throughs, and riskless principal trading in corporate bond markets
L Harris - Trade Throughs, and Riskless Principal Trading in …, 2015 - papers.ssrn.com
This study analyzes the costs of trading bonds using previously unexamined quotations data
consolidated across several electronic bond trading venues. Much bond market trading is …
consolidated across several electronic bond trading venues. Much bond market trading is …
US quantitative easing and firm's default risk: The role of Corporate Social Responsibility (CSR)
FJ Hsu, SH Chen - The Quarterly Review of Economics and Finance, 2021 - Elsevier
This study empirically investigates whether the US quantitative easing (QE) policy
significantly mitigates a firm's default risk by focusing on firms with differential levels of …
significantly mitigates a firm's default risk by focusing on firms with differential levels of …