We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …

Secondary market illiquidity is an important non-default factor affecting yield spreads. Yet, a
review of the literature suggests the findings are mixed, both regarding the relative size of …

Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

We find a significant positive relation between changes in policy uncertainty and changes in
credit spreads. Macroeconomic conditions, including general uncertainty, do not explain this …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to
disentangle the two factors empirically. In this paper we separate out the credit risk …

We measure credit risk premia—prices for bearing corporate default risk in excess of
expected default losses—using Markit CDS and Moody's Analytics EDF data. We find …

This paper investigates (1) how the composition of executive compensation is related to a
bank's incentive to take excessive risk,(2) whether executive compensation in larger banks …

We show that liquidity risk is priced in the cross section of returns on credit default swaps
(CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels …

This paper comprehensively analyzes the overall status of the green bond market in Latin
America and the Caribbean (LAC) for the renewable energy sector. Our results show that, in …