First-Time Corporate Bond Issuers in Italy

Do bond issuers shop for a better credit rating?

By utilizing a large sample of US bond issuers with ratings from Moody's, S&P, and Fitch, this paper analyses whether observed differences in average rating levels between the third agency Fitch and the mandatory agencies Moody's and S&P are due to issuers seeking only an additional rating if it is expected to give a more favorable picture of credit quality. In contrast to previous research, we...

Corporate Bond Risk Premia

This paper investigates the risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two risk factors are derived from yield and macroeconomic data: a priced term risk factor and a priced credit risk factor explain half of the variation in one-year corporate and Treasury excess returns. The information of the term risk factor is not represented by major yield character...

Corporate Bond Specialness

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. In the cross section, specialness is higher for bonds that are of worse credit rating, higher...

Cracking Down on Corporate Crime in Italy

Investment - Based Corporate Bond Pricing ∗

A standard assumption of structural models of default is that firms assets evolve exogenously. In this paper, we document the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, firm-level variables which proxy for asset composition carry explanatory power for credit spreads beyond leverage. As a result, cross-sectiona...