This paper theoretically and empirically studies the relation between credit news uncertainty and corporate bond returns. Our model states that when the quality of credit news is uncertain, bond prices respond more to bad news than to good news, ambiguous news about default likelihood increases...

Information about credit quality is uncertain and varies across debt maturity. We show that an ambiguity-averse firm manager will avoid maturities with ambiguous credit information. We thus hypothesize that firms choose maturity structures where perceived credit quality uncertainty is lower....

This paper proposes empirical methods to measure Credit Default Swap (CDS) return and explores its factor structure. We find that approximated CDS returns deviate significantly from actual returns based on the upfront fee, computed with protection sellers' cash flows. Past CDS returns and the...