This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

time affine Gaussian model of the term structure model of nominal bonds, real bonds and equity and extends it by three …

This paper investigates to what extent yield spreads on bonds issued by sub-sovereign entities within federations are …

from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the …

for currency risk, liquidity risk, and term structure. Foreign-law bonds indeed carry signi cantly lower yields in …Governments often issue bonds in foreign jurisdictions, which can provide additional legal protection vis …-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice on bond prices. We test whether foreign-law bonds …

and NGEU initiatives helped improve EU bonds' market liquidity from previously low levels, also reducing liquidity risk … premia. Eurosystem purchases and holdings of EU bonds did not impair market liquidity. Currently, one obstacle to EU bonds … bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over …

studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis …Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper …

namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …