the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …

Using large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area … through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry …, holdings of ‘buy-and-hold’ bond investors are large in aggregate but small for weaker issuers. Nevertheless, the bond investors …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity … betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply …

corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk … tendency for CDS markets to lead corporate bond markets in terms of price discovery. We find that the outbreak of the financial … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …) segmentation (convenience) premium. Identification is achieved by considering sovereign bond yields jointly with other rates … implementing bond purchases, the E.U.’s fiscal policy announcements lowered yields more uniformly …

estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …