Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve...

We examine the choice and the offer spreads between callable and non-callable bonds. We find significant differences by industry sector so our results are segmented by financial and non-financial industries. For the financial sector, the popularity of callable and non-callable bonds is...

We discuss the current funding practice of banks, looking at the typical capital structure of banks, examining where CoCos will likely fit within this structure and giving examples of recently issued CoCos. We explore the key design choices of bank CoCos analysing the potential problems that...

We examine term structure theories by using a novel approach. We form bond investment strategies based on different theories of the term structure in order to determine which strategy performs best. When using a manipulation-proof performance measure, we find that consistent with prior...

In this paper we use six governance variables to predict the ISS's indexes values. Using a sample of 392 UK companies, the results indicate that governance variables can predict the ISS's governance rates with a higher degree of accuracy and significance. This suggests that corporate governance...

By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk...

This study explores a natural experiment that involves the change in the regulation of earnings forecast disclosures from mandatory to voluntary in firms' IPO prospectuses. Findings indicate a behavioural alteration with pessimistic earnings forecasts during the mandatory era turning optimistic...

We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury...

Existing empirical work supports the notion that make whole and claw back bonds are explained as methods to resolve the underinvestment problem. We suggest that if these provisions genuinely resolve the underinvestment problem then make whole and claw back provision bondholders should share in...

To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. An acid test of a sensitivity measure...