Markets: Transparency and the Corporate Bond Market
نویسندگان
چکیده
منابع مشابه
Institutional Herding in the Corporate Bond Markets
We find substantial herding in U.S. corporate bonds among bond fund managers, much higher than that previously documented for the equity market. Herding is generally stronger among illiquid bonds, and buy herding and sell herding are driven by different factors. In particular, sell herding increases on negative news about bond ratings and corporate earnings. Interestingly, increases in ex-post ...
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This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have significant exposures to fluctuations in treasury bond liquidity and equity market liquidity. Further, this liquidity risk is a priced factor for the expected returns on corporate bonds, and the associated liquidity risk premia help to explain the credit spread puzzle. In t...
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To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond prices on outstanding senior unsecured debt issued by a large panel of nonfinancial firms. An advantage o...
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This paper studies early refinancing activities in the corporate bond market and its implications for debt maturity structure. In additional to interest rate reduction, speculative-grade firms constantly extend maturity through early refinancing. Moreover, they take advantage of accommodating credit market conditions to extend maturity on a large scale, leading to pro-cyclical debt maturity str...
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The paper uses a reduced-form vector autoregressive framework to study the effects of quantitative easing and operation ‘‘twist’’, as well as a conventional monetary expansion, on corporate bond yields and spreads. We construct ratingand maturity-based weekly bond portfolios using TRACE and simulate monetary policies as shocks to the Treasury yield curve. We find that none of the policies can p...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 2008
ISSN: 0895-3309
DOI: 10.1257/jep.22.2.217