Measuring the multi-faceted dimension of liquidity in financial markets: A literature review
A Díaz, A Escribano - Research in International Business and Finance, 2020 - Elsevier
This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …
empirical literature to measure liquidity. A wide range of papers have emphasized its role …
Climate change news risk and corporate bond returns
TD Huynh, Y Xia - Journal of Financial and Quantitative Analysis, 2021 - cambridge.org
We examine whether climate change news risk is priced in corporate bonds. We estimate
bond covariance with a climate change news index and find that bonds with a higher climate …
bond covariance with a climate change news index and find that bonds with a higher climate …
Priced risk in corporate bonds
A Dickerson, P Mueller, C Robotti - Journal of Financial Economics, 2023 - Elsevier
Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …
the cross-sectional variation in corporate bond expected excess returns. We revisit these …
Common risk factors in the cross-section of corporate bond returns
We investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common …
downside risk is the strongest predictor of future bond returns. We also introduce common …
What do we know about corporate bond returns?
Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …
returns, in particular, the driving force of cross-sectional return variation. In this review, we …
Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability
In this paper, we empirically examine whether superior performance in corporate social
responsibility (CSR) results in lower credit risk, measured by credit ratings and zero-volatility …
responsibility (CSR) results in lower credit risk, measured by credit ratings and zero-volatility …
Capital commitment and illiquidity in corporate bonds
We study trading costs and dealer behavior in US corporate bond markets from 2006 to
2016. Despite a temporary spike during the financial crisis, average trade execution costs …
2016. Despite a temporary spike during the financial crisis, average trade execution costs …
The illiquidity of corporate bonds
This paper examines the illiquidity of corporate bonds and its asset‐pricing implications.
Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is …
Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is …
[HTML][HTML] Corporate bond liquidity before and after the onset of the subprime crisis
We analyze liquidity components of corporate bond spreads during 2005–2009 using a new
robust illiquidity measure. The spread contribution from illiquidity increases dramatically with …
robust illiquidity measure. The spread contribution from illiquidity increases dramatically with …
[图书][B] Efficiently inefficient: how smart money invests and market prices are determined
LH Pedersen - 2019 - books.google.com
Financial market behavior and key trading strategies—illuminated by interviews with top
hedge fund experts Efficiently Inefficient describes the key trading strategies used by hedge …
hedge fund experts Efficiently Inefficient describes the key trading strategies used by hedge …