Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry … in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the …

-sectional bond returns than the traditional default spread and ratings. The positive effect of the credit risk premium (CRP) factor … and bond characteristics. Besides the systematic CRP factor, idiosyncratic credit risk is also priced. The results show … that the CRP beta effect in the cross-section of bond returns is largely a pure bond effect, which is not driven by the …

Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …