We conduct a detailed empirical study of the effects of cash flow volatility on corporate bond yield spreads. Using a lengthy sample of transaction prices for investment grade straight bonds, we show that cash flow risk has strong statistical significance and economic effects on spreads, after...

Aim: The paper measures the impact of negative interest rates on listed firms in the original euro zone countries. It also measures the impact of the first COVID-19 year. Design / research methods: The paper uses panel data to measure the influence of the short-term ECB deposit rate and the...

We estimate the term structure of cash flow risk and its price of risk for the most prominent equity anomalies, at different frequencies, by directly modeling the dividend growth series instead of relying on a VAR-residual approach. We find the term structure of cash flow risk to be upward...

The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend strip futures, this paper finds that volatility...