Results 291 to 300 of about 345,986 (348)
Corporate Transparancy and Bond Liquidity [PDF]
SSRN Electronic Journal, 2014 To answer the question what causes an asset to be illiquid, we analyze the impact that transparency of corporate accounting information has on the liquidity of its traded bonds. In particular, we focus on how this relationship depends on aggregate liquidity and the financial state of the firm.
Fecht, Falko +2 more
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Academy of Management Proceedings, 2018
I examine corporate green bonds, whose proceeds finance climate-friendly projects. These bonds have become more prevalent over time, especially in industries where the environment is financially material to firm operations. I document that investors respond positively to the issuance announcement, a response that is stronger for first-time issuers and ...
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I examine corporate green bonds, whose proceeds finance climate-friendly projects. These bonds have become more prevalent over time, especially in industries where the environment is financially material to firm operations. I document that investors respond positively to the issuance announcement, a response that is stronger for first-time issuers and ...
openaire +1 more source
Journal of Business Finance & Accounting, 1999
We examine Treasury bond and stock index futures, the swap curve and two types of hypothetical corporate bond assets as alternative hedging instruments for portfolios of corporate bonds. Conducting ex post and ex ante tests we find evidence that credit quality and maturity are important sources of basis risk when hedging corporate bonds whose credit ...
Michalis Ioannides, Frank S. Skinner
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We examine Treasury bond and stock index futures, the swap curve and two types of hypothetical corporate bond assets as alternative hedging instruments for portfolios of corporate bonds. Conducting ex post and ex ante tests we find evidence that credit quality and maturity are important sources of basis risk when hedging corporate bonds whose credit ...
Michalis Ioannides, Frank S. Skinner
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SSRN Electronic Journal, 2007
Using data on all corporate bond loans by one of the world’s largest custodian banks, we study the main determinants of shorting costs as measured by rebate rate specialness. We find that 3.0% of corporate bonds are on loan, and 11% of loaned bonds have substantial shorting costs above 50 basis points.
Amrut J. Nashikkar, Lasse Heje Pedersen
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Using data on all corporate bond loans by one of the world’s largest custodian banks, we study the main determinants of shorting costs as measured by rebate rate specialness. We find that 3.0% of corporate bonds are on loan, and 11% of loaned bonds have substantial shorting costs above 50 basis points.
Amrut J. Nashikkar, Lasse Heje Pedersen
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The Riskiness of Corporate Bonds [PDF]
Journal of Money, Credit and Banking, 2009 We use an index of riskiness recently proposed by Aumann and Serrano () to analyze how the riskiness of diversified portfolios of corporate bonds changes across rating classes and through time and how it compares to the riskiness of other financial instruments.
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Climate Regulatory Risks and Corporate Bonds
SSRN Electronic Journal, 2020Investor concerns about climate and other environmental regulatory risks suggest that these risks should affect corporate bond risk assessment and pricing. We test this hypothesis and find that firms with poor environmental profiles or high carbon footprints tend to have lower credit ratings and higher yield spreads, particularly when located in a ...
Seltzer, Lee +2 more
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Benchmarking Individual Corporate Bonds
SSRN Electronic Journal, 2021We propose an alternative approach to the linear factor model to estimate and decompose asset risk premia in empirical asset pricing. To resolve the high-dimensional sort difficulty in forming characteristic-based benchmark portfolios, we introduce a benchmark combination model (BCM) that combines multiple basis portfolios as the pricing kernel. With a
Xin He +3 more
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Corporate Governance and Corporate Bond Liquidity
Global Economic Review, 2016AbstractUsing a unique dataset of corporate bond trading information and corporate governance evaluation scores, this study examines the determinants of corporate bond market liquidity in Korea. In particular, this study explores whether corporate governance performance of a company influences liquidity of bonds issued by the company. The paper reports
Hyun Jin Lee, Insook Cho
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Institutional Corporate Bond Demand
SSRN Electronic Journal, 2020We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with an instrument to isolate exogenous movements in prices.
Lorenzo Bretscher +3 more
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Bond Durations: Corporates vs. Treasuries
SSRN Electronic Journal, 2006We compare the durations of corporate and Treasury bonds in the reduced-form, intensity based credit risk modeling framework. In the case where default risk is independent of default-free interest rates, we provide in each of the three most popular recovery regimes a sufficient condition under which the duration of the corporate bond is smaller than ...
Kraft, Holger, Munk, Claus
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