We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The...

In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for...

We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is approximated by four indirect measures: issued amount, age, number...

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and

We consider eight different measures (issued amount, coupon, listed, age, missing

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and Turnbull [1997, JLT] framework, (ii) a similar framework using historical probabilities and (iii) as plain vanilla bonds. We find that the market seems to value single step-up bonds according to the JLT model,...

We consider eight different proxies (issued amount, coupon, listed, age, missing prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond liquidity and use a five-variable model to control for interest rate risk, credit risk, maturity, rating and currency...