This paper analyzes the effect of corporate debt offerings on stock prices. Straight debt offerings have non-positive price effects, while convertible debt offerings have significantly negative effects. Public utility mortgage (non-convertible) bond offerings have marginally negative effects,...

Open-end mutual funds have grown to become a key player in the corporate bond market. They invest in illiquid bonds but provide liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel measure...

We analyze the stock market response to a comprehensive international sample of 1,560 corporate green bond announcements between January 2013 and January 2022. We do not find any significant market response to these green bond announcements. We conduct a battery of tests to check the robustness...

This paper investigates the determinants of firms' decision to issue public debt in emerging Asian economies, using a novel database covering the period 1995 to 2007. We use comparable micro level panel of eight countries - China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and...

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

The financial market turbulence in 1998, as other crises previously, produced strong price movements in the securities markets worldwide. This reflected, first, a general reassessment of credit risk, and, second, a drying-up of liquidity even in some of the largest mature securities markets. As...

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2009 in the framework of diagonal-BEKK models. Our research question is whether monetary policy actions and communications by the Bank of Canada and the Federal...

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...

We find a positive firm's stock price reaction to green bond issuance announcement. We explore the impact of bond market originated information on equity investors. We find that this stock price reaction grew after the Paris Agreement, suggesting a change of equity investor behavior after this...

This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...