In this article we illustrate how to price bonds and calculate the accrued interest, clean- and dirty price, from which we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical bond pricing formulae and show how to modify this...

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...

After the announcement of the European Central Bank's corporate quantitative easing program, non-financial corporations timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds did not increase total issuance compared to other...

The paper examines the credit spread between government and corporate bonds at different maturities. Theoretical models assume that credit risk premiums for high quality firms monotonously increase with maturity. We find evidence suggesting that bonds issued at maturities attracting the highest...

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...

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 Huang (2012), we apply a decomposition methodology to...

Bonds issued in high and low interest-rate environments often list at different prices despite very similar characteristics. From a risk-neutral investor's perspective, higher current prices imply higher losses in case of default, which must be compensated, if markets are efficient. We call this...

Using a 2009-2019 sample of Chinese bond issuers, we examine the effect of carbon risk on bond financing costs. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because their credit risk is greater and they invest the funds in...

This study examines the too-big-to-fail expectations in the primary market issuance spreads of commercial bank tier-2 capital bonds and additional tier-1 capital bonds in China. Using a sample of 574 issuances with total amount of 4.76 trillion RMB (749 billion USD), we conduct median...

This paper provides an innovative theoretical model and empirical evidence for how the illiquidity of corporate bonds, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between bond illiquidity and synchronicity, and this empirical...