Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Data

2007 ◽  
Author(s):  
Song Han ◽  
Hao Zhou
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity ◽  
Bond Spreads

Comparing Possible Proxies of Corporate Bond Liquidity

CFA Digest ◽  
2005 ◽  
Vol 35 (4) ◽  
pp. 29-30
Author(s):  
Joseph D.V. Vu
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

A risk not worth taking - The corporate bond liquidity factor

2021 ◽  
Author(s):  
Fabian Dienemann
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Family Management and Corporate Bond Spreads: Do Foreign and Government Ownerships Matter?

2020 ◽  
pp. 1-13
Author(s):  
Chien-Chiang Lee ◽  
Chih-Wei Wang ◽  
Shan-Ju Ho
Keyword(s):  
Corporate Bond ◽  
Family Management ◽  
Bond Spreads

scholarly journals The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of Their Determinants

2019 ◽  
Author(s):  
Henning Fischer ◽  
Oscar Anselm Stolper
Keyword(s):  
Nonlinear Dynamics ◽  
Corporate Bond ◽  
Bond Spreads

News and Corporate Bond Liquidity

2014 ◽  
Author(s):  
Hao Jiang ◽  
Zheng Sun
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds

2020 ◽  
Vol 67 ◽  
pp. 101217 ◽  
Author(s):  
Diego Leal ◽  
Bryan Stanhouse ◽  
Duane Stock
Keyword(s):  
Term Structure ◽  
Corporate Bond ◽  
Bond Liquidity ◽  
Free Bank

scholarly journals Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets

2015 ◽  
Vol 05 (03) ◽  
pp. 1550007 ◽  
Author(s):  
Jan Ericsson ◽  
Joel Reneby ◽  
Hao Wang
Keyword(s):  
Default Risk ◽  
Structural Models ◽  
Credit Default Swap ◽  
Corporate Bond ◽  
Credit Default ◽  
Credit Derivative ◽  
Risk Free Rate ◽  
Derivative Markets ◽  
Bond Spreads ◽  
Free Rate

Using a set of structural models, we evaluate the price of default protection for a sample of US corporations. In contrast to previous evidence from corporate bond data, credit default swap (CDS) premia are not systematically underestimated. In fact, one of our studied models has little difficulty on average in predicting their level. For robustness, we perform the same exercise for bond spreads by the same issuers on the same trading date. As expected, bond spreads relative to the treasury curve are systematically underestimated. This is not the case when the swap curve is used as a benchmark, suggesting that previously documented underestimation results may be sensitive to the choice of risk-free rate.

Liquidity Effects in Corporate Bond Spreads

2013 ◽  
Author(s):  
Jean Helwege ◽  
Jing-Zhi Huang ◽  
Yuan Wang
Keyword(s):  
Corporate Bond ◽  
Bond Spreads

Heterogeneous Liquidity Effects in Corporate Bond Spreads

CFA Digest ◽  
2017 ◽  
Vol 47 (9) ◽  
Author(s):  
Butt Man-Kit
Keyword(s):  
Corporate Bond ◽  
Bond Spreads

Modeling Corporate Bond Spreads: An Application-Oriented Forecasting Exercise

2009 ◽  
Author(s):  
Klaus-Michael Menz
Keyword(s):  
Corporate Bond ◽  
Bond Spreads
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