Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …

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 …

One of the most vexing problems in investment management is that diversification seems to
disappear when investors need it the most. We surmise that many investors still do not fully …

The lack of fundamental values in the cryptocurrency market paves the way for the rise of
unprecedented speculative bubble phenomena, which are often associated with alternating …

We examine the impact of investor sentiment on bank credit and financial stability. We also
investigate how loan growth may affect bank stability. We use a large panel data set of US …

We construct a news sentiment index at the firm level by using textual analysis of news
articles and find that dispersion in news sentiment is a significant predictor of corporate bond …

Uninformative stock price fluctuations induced by volatile mutual fund flows generate
unintended consequences for corporate debt financing. We propose a measure of stock …

Investor sentiment is an important driver of sovereign bond returns in emerging markets.
Using local sovereign debt and external sovereign debt, this paper finds that sentiment is …

Empirical studies of structural credit risk models so far are often based on calibration, rolling
estimation, or regressions. This paper proposes a GMM-based method that allows us to …

We propose an investor sentiment measure at the bond level and find it has strong cross-
sectional predictive power for corporate bond returns. Our results show that greater investor …