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Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market

Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203

Persistent link: https://www.econbiz.de/10010509587

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Effects of credit quality on tax-exempt and taxable yields

Liu, Sheen; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 13 (2003) 2, pp. 80-99

Persistent link: https://www.econbiz.de/10001803163

The determinants of corporate bond yields

Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi - In: The quarterly review of economics and finance : journal … 49 (2009) 1, pp. 85-109

Persistent link: https://www.econbiz.de/10003810593

Are liquidity and information risks priced in the treasury bond market?

Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan - In: The journal of finance : the journal of the American … 64 (2009) 1, pp. 467-503

Persistent link: https://www.econbiz.de/10003853125

Order imbalance, liquidity, and returns of the US Treasury market

Wang, Junbo; Wu, Chunchi; Yu, Eden Siu-hung - In: Review of Pacific Basin financial markets and policies 15 (2012) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10009574418

Are liquidity and counterparty risk priced in the credit default swap market?

Pu, Xiaoling; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 4, pp. 59-79

Persistent link: https://www.econbiz.de/10009007990

The informativeness of corporate bond trades

Chen, Peter; Wang, Junbo; Wu, Chunchi - In: Review of Pacific Basin financial markets and policies 14 (2011) 3, pp. 367-428

Persistent link: https://www.econbiz.de/10009312112

Domestic versus foreign equity shares : which are more costly to trade in the Chinese market?

He, Yan; Wang, Junbo; Wu, Chunchi - In: International review of economics & finance : IREF 27 (2013), pp. 465-481

Persistent link: https://www.econbiz.de/10009740779

Liquidity risk and momentum spillover from stocks to bonds

Lin, Hai; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 23 (2013) 1, pp. 5-42

Persistent link: https://www.econbiz.de/10009783221