Against the backdrop of COVID-19, we study how the interactions of mutual funds and dealers introduce fragility to the municipal bond market and carry lasting impacts. During the crisis, trading activities surge while dealers' liquidity provision plunges for mutual-fund-held bonds, leading to...

Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...

I study how asset prices vary with the risk exposures of heterogeneous financial intermediaries in the municipal bond market. Banks with local bank-branches, as marginal investors, price their interest rate risk exposure into offering yield spreads of bank-qualified bonds. The pricing of...

Forced to address human-induced climate change, the world has embarked on the transition to a low-carbon economy, requiring massive amounts of financing. Municipalities in the US have begun to issue bonds that are third-party certified and registered with the Climate Bonds Initiative (CBI) to...

We analyze the extent to which investors in opaque markets price information from more transparent markets. Exploiting the natural experiment created by bond-insurer insolvency, we show that municipal bond investors ignore insurers' equity prices and CDS premia, yet react to insurers'...

This paper studies the cross-section of expected municipal bond returns. We show that municipal bond yields contain reliable information about differences in expected municipal bond returns across states of issuance, duration range, and credit quality. Hence, using information embedded in those...

From 1857 scholars have relied on Macaulay (1938) to track changes in interest rates during the period before the Ibbotson data begin. Holding period returns, where of interest (e.g., Siegel 1992a, 1992b), have been calculated from summary yield inputs such as those tabulated by Homer (1963),...

US securities markets took root after Alexander Hamilton's refunding of the Federal debt in the early 1790s. Accordingly, a market in bonds has been in operation in the US for over two centuries. Until recently, however, little was known about bond market returns prior to 1857. This paper...