IDEAS home Printed from https://ideas.repec.org/f/c/pch721.html
   My authors  Follow this author

Long Chen

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.

    Cited by:

    1. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.

  2. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.

    Cited by:

    1. Urs von Arx & Andreas Ziegler, 2008. "The Effect of CSR on Stock Performance: New Evidence for the USA and Europe," CER-ETH Economics working paper series 08/85, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    2. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
    3. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
    4. Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.

  3. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Dötz, Niko, 2014. "Decomposition of country-specific corporate bond spreads," Discussion Papers 37/2014, Deutsche Bundesbank.
    2. Christian Gourieroux & Joann Jasiak, 2006. "A Degeneracy in the Analysis of Volatility and Covolatility Effects," Working Papers 2006-30, Center for Research in Economics and Statistics.

  4. Long Chen & Ralitsa Petkova & Lu Zhang, 2006. "The Expected Value Premium," NBER Working Papers 12183, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jin Ginger Wu & Lu Zhang, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," NBER Working Papers 15950, National Bureau of Economic Research, Inc.
    2. Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017. "Systematic cojumps, market component portfolios and scheduled macroeconomic announcements," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 43-58.
    3. Mikael C. Bergbrant & Patrick J. Kelly, 2015. "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers w0214, New Economic School (NES).
    4. Júlio Lobão & Marcos Azeredo, 2018. "Momentum meets value investing in a small European market," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(1), pages 45-58, March.
    5. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, vol. 107(2), pages 350-385.
    6. James Foye, 2015. "A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe," Proceedings of International Academic Conferences 2604415, International Institute of Social and Economic Sciences.
    7. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
    8. Stephen H. Penman & Francesco Reggiani & Scott A. Richardson & İrem Tuna, 2018. "A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price," European Financial Management, European Financial Management Association, vol. 24(4), pages 488-520, September.
    9. Neophytos Lambertides, 2022. "Misvaluation and the Asset Growth Anomaly," Abacus, Accounting Foundation, University of Sydney, vol. 58(1), pages 105-141, March.
    10. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
    11. Edward Lee & Norman Strong & Zhenmei (Judy) Zhu, 2014. "Did Regulation Fair Disclosure, SOX, and Other Analyst Regulations Reduce Security Mispricing?," Journal of Accounting Research, Wiley Blackwell, vol. 52(3), pages 733-774, June.
    12. Lee, Edward & Strong, Norman & Zhu, Zhenmei (Judy), 2014. "Did the value premium survive the subprime credit crisis?," The British Accounting Review, Elsevier, vol. 46(2), pages 166-178.
    13. Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012. "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 317-335.
    14. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, June.
    15. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
    16. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
    17. Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
    18. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
    19. Charles E. Hyde & David Beggs, 2009. "Style timing with the value spread in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(4), pages 781-798, December.
    20. PAOLA BRIGHI & STEFANO d'ADDONA & ANTONIO CARLO FRANCESCO DELLA BINA, 2013. "The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(2), pages 103-133, July.
    21. Liujing Zeng & Hue Hwa Au Yong & Sirimon Treepongkaruna & Robert Faff, 2014. "Is there a Banking Risk Premium in the US Stock Market?," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 27-42, July.
    22. Andrew Y. Chen, 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
    23. Tobias E Anheluk & Pradosh Simlai, 2011. "Information spillovers between size and value premium in average stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 395-406, December.
    24. Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021. "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
    25. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
    26. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    27. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
    28. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
    29. Aron A. Gottesman & Gady Jacoby & Huijing Li, 2017. "Value investing or investing in illiquidity? The profitability of contrarian investment strategies, revisited," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    30. Huang, I-Hsiang, 2011. "The cyclical behavior of the risk of value strategy: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 404-419, September.
    31. Xie, Yuxin & Hwang, Soosung & Pantelous, Athanasios A., 2018. "Loss aversion around the world: Empirical evidence from pension funds," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 52-62.
    32. Ekaterini Panopoulou & Sotiria Plastira, 2014. "Fama French factors and US stock return predictability," Journal of Asset Management, Palgrave Macmillan, vol. 15(2), pages 110-128, April.
    33. Jin (Ginger) Wu & Lu Zhang & X. Frank Zhang, 2010. "The q‐Theory Approach to Understanding the Accrual Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 177-223, March.
    34. Montone, Maurizio, 2023. "Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).

  5. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers 11323, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
    2. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    3. van Zundert, Jeroen & Driessen, Joost, 2022. "Stocks versus corporate bonds: A cross-sectional puzzle," Journal of Banking & Finance, Elsevier, vol. 137(C).
    4. Robert Amano & Malik Shukayev, 2009. "Risk Premium Shocks and the Zero Bound on Nominal Interest Rates," Staff Working Papers 09-27, Bank of Canada.
    5. Bradley, Daniel & Pantzalis, Christos & Yuan, Xiaojing, 2016. "Policy risk, corporate political strategies, and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 254-275.
    6. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
    7. Manju Tripathi & Smita Kashiramka & P. K. Jain, 2018. "Equity Risk Premium in India: Comparative Estimates from Historical Returns, Dividend and Earnings Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 136-156, April.
    8. Jens Hilscher & Mungo Wilson, 2017. "Credit Ratings and Credit Risk: Is One Measure Enough?," Management Science, INFORMS, vol. 63(10), pages 3414-3437, October.
    9. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
    10. Qinghua Wang & Yaning Zhou & Li Luo & Junping Ji, 2019. "Research on the Factors Affecting the Risk Premium of China’s Green Bond Issuance," Sustainability, MDPI, vol. 11(22), pages 1-14, November.
    11. Gene Amromin & Steven A. Sharpe, 2005. "From the horse’s mouth: gauging conditional expected stock returns from investor surveys," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    12. Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
    13. Kevin XD Huang & Nam T Vu, 2019. "Rare but Long-lasting Liquidity Traps and Fiscal Stimulus," Vanderbilt University Department of Economics Working Papers 19-00014, Vanderbilt University Department of Economics.
    14. Long Chen & Ralitsa Petkova & Lu Zhang, 2006. "The Expected Value Premium," NBER Working Papers 12183, National Bureau of Economic Research, Inc.
    15. Tobias Schlueter & Soenke Sievers, 2014. "Determinants of market beta: the impacts of firm-specific accounting figures and market conditions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 535-570, April.
    16. Florian Hett & Alexander Schmidt, 2013. "Bank Bailouts and Market Discipline: How Bailout Expectations Changed During the Financial Crisis," Working Papers 1305, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 01 Aug 2013.
    17. Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee, 2020. "Yield curve risks in currency carry forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 651-670, April.
    18. Gene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    19. Julien Pénasse, 2022. "Understanding Alpha Decay," Management Science, INFORMS, vol. 68(5), pages 3966-3973, May.
    20. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
    21. Jens Hilscher & Mungo Wilson, 2011. "Credit ratings and credit risk," Working Papers 31, Brandeis University, Department of Economics and International Business School.
    22. Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
    23. Hett, Florian & Kasinger, Johannes, 2017. "Undermined market discipline: The role of bank rescues and bailout expectations," SAFE Policy Letters 59, Leibniz Institute for Financial Research SAFE.
    24. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
    25. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    26. Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
    27. Christoph Kaserer, 2022. "Estimating the market risk premium for valuations: arithmetic or geometric mean or something in between?," Journal of Business Economics, Springer, vol. 92(8), pages 1373-1415, October.
    28. Gehrig, Thomas & Füss, Roland & Rindler, Philipp B, 2011. "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers 8714, C.E.P.R. Discussion Papers.
    29. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
    30. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
    31. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
    32. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    33. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
    34. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
    35. Jim Kyung-Soo Liew & Ahmad Ajakh, 2020. "Volatility-Adjusted 60/40 versus 100—New Risk Investing Paradigm," JRFM, MDPI, vol. 13(9), pages 1-6, August.
    36. Hett, Florian & Schmidt, Alexander, 2017. "Bank rescues and bailout expectations: The erosion of market discipline during the financial crisis," Journal of Financial Economics, Elsevier, vol. 126(3), pages 635-651.
    37. Mishra, Dev R. & O’Brien, Thomas J., 2019. "Fama-French, CAPM, and implied cost of equity," Journal of Economics and Business, Elsevier, vol. 101(C), pages 73-85.
    38. Dötz, Niko, 2014. "Decomposition of country-specific corporate bond spreads," Discussion Papers 37/2014, Deutsche Bundesbank.
    39. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
    40. Nils Friewald & Florian Nagler & Christian Wagner, 2022. "Debt Refinancing and Equity Returns," Journal of Finance, American Finance Association, vol. 77(4), pages 2287-2329, August.
    41. Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.
    42. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
    43. Jens Dick‐Nielsen & Jacob Gyntelberg & Christoffer Thimsen, 2022. "The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts," Journal of Finance, American Finance Association, vol. 77(5), pages 2577-2611, October.
    44. Matthias Fleckenstein & Francis A. Longstaff, 2023. "Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," Journal of Finance, American Finance Association, vol. 78(1), pages 389-425, February.
    45. Jin (Ginger) Wu & Lu Zhang & X. Frank Zhang, 2010. "The q‐Theory Approach to Understanding the Accrual Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 177-223, March.
    46. Xin Liu & Shang-Jin Wei & Yifan Zhou, 2020. "A Liberalization Spillover: From Equities to Loans," NBER Working Papers 27305, National Bureau of Economic Research, Inc.
    47. Shen, Carl Hsin-han & Zhang, Hao, 2020. "What's good for you is good for me: The effect of CEO inside debt on the cost of equity," Journal of Corporate Finance, Elsevier, vol. 64(C).

Articles

  1. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.

    Cited by:

    1. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    2. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    3. Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
    4. Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
    5. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    6. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
    7. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    8. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
    9. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    10. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    11. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.

  2. Murillo Campello & Long Chen, 2010. "Are Financial Constraints Priced? Evidence from Firm Fundamentals and Stock Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1185-1198, September.

    Cited by:

    1. Ippolito, Filippo & Ozdagli, Ali K. & Perez-Orive, Ander, 2018. "The transmission of monetary policy through bank lending: The floating rate channel," Journal of Monetary Economics, Elsevier, vol. 95(C), pages 49-71.
    2. Inder K. Khurana & Changjiang Wang, 2015. "Debt Maturity Structure and Accounting Conservatism," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 167-203, January.
    3. Andrés Rodríguez‐Pose & Roberto Ganau & Kristina Maslauskaite & Monica Brezzi, 2021. "Credit constraints, labor productivity, and the role of regional institutions: Evidence from manufacturing firms in Europe," Journal of Regional Science, Wiley Blackwell, vol. 61(2), pages 299-328, March.
    4. Sanjeev Kumar & K. S. Ranjani, 2018. "Financial constraints and investment decisions of listed Indian manufacturing firms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-17, December.
    5. Robert Joliet & Aline Muller, 2016. "Are foreign earnings disclosures value-relevant?," Post-Print hal-01744820, HAL.
    6. Jeong, Dae hee, 2015. "The Effect of the Global Financial Crisis on Corporate Investment in Korea: From the Perspective of Costly External Finance," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 37(1), pages 19-44.
    7. Karampatsas, Nikolaos & Petmezas, Dimitris & Travlos, Nickolaos G., 2014. "Credit ratings and the choice of payment method in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 474-493.
    8. David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
    9. Min-Rui Choo & Chih-Wei Wang & Chi Yin & Jie-Lun Li, 2021. "Managerial Ability and External Financing," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 207-241, June.
    10. Bergbrant, Mikael C. & Hunter, Delroy M. & Kelly, Patrick J., 2018. "Rivals’ competitive activities, capital constraints, and firm growth," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 87-108.
    11. Jun Hyeok Choi & Saerona Kim & Dong-Hoon Yang & Kwanghee Cho, 2021. "Can Corporate Social Responsibility Decrease the Negative Influence of Financial Distress on Accounting Quality?," Sustainability, MDPI, vol. 13(19), pages 1-19, October.
    12. Chong, Byung-Uk & Kim, Heonsoo, 2019. "Capital structure volatility, financial vulnerability, and stock returns: Evidence from Korean firms," Finance Research Letters, Elsevier, vol. 30(C), pages 318-326.
    13. May, Anthony D., 2014. "Corporate liquidity and the contingent nature of bank credit lines: Evidence on the costs and consequences of bank default," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 410-429.
    14. Almaghrabi, Khadija S., 2023. "Non‐operating risk and cash holdings: Evidence from pension risk," Journal of Banking & Finance, Elsevier, vol. 152(C).
    15. Nadja Dwenger & Frank M Fossen & Martin Simmler, 2015. "From financial to real economic crisis: evidence from individual firm¨Cbank relationships in Germany," Working Papers 1516, Oxford University Centre for Business Taxation.
    16. Pei-shan Lu & Weiju Young & Meng Sung Hsieh, 2017. "The Impacts of Overinvestment and Financial Constraints on Seasoned Equity Offering Long-Run Performance," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 216-224.
    17. Vijayakumaran, Ratnam, 2021. "Impact of managerial ownership on investment and liquidity constraints: Evidence from Chinese listed companies," Research in International Business and Finance, Elsevier, vol. 55(C).
    18. Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos, 2014. "Capital Structure and Financial Flexibility: Expectations of Future Shocks," Working Papers 731, Queen Mary University of London, School of Economics and Finance.
    19. Hossein Tarighi & Zeynab Nourbakhsh Hosseiny & Mohammad Reza Abbaszadeh & Grzegorz Zimon & Darya Haghighat, 2022. "How Do Financial Distress Risk and Related Party Transactions Affect Financial Reporting Quality? Empirical Evidence from Iran," Risks, MDPI, vol. 10(3), pages 1-23, February.
    20. Matjaž Volk & Polona Trefalt, 2014. "Access to Credit as a Growth Constraint," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 29-39, May.
    21. Paul Mizen & Serafeim Tsoukas, 2012. "The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises," Working Papers 2012_08, Business School - Economics, University of Glasgow.
    22. Leopold Ingenohl & Nicolas Kube, 2018. "Are financial constraints of corporate activist investors perceived negatively?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 367-398, November.
    23. Giorgio Canarella & Mahmoud Nourayi & Michael J. Sullivan, 2014. "An alternative test of the trade-off theory of capital structure," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 8(4), December.
    24. Asif Islam & Gregmar I. Galinato & Wentao Zhang, 2021. "Can government spending boost firm sales?," Kyklos, Wiley Blackwell, vol. 74(4), pages 488-511, November.
    25. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 743-765.
    26. Yuan, Na & Gao, Yihong, 2022. "Does green credit policy impact corporate cash holdings?," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    27. Chiu, Wan-Chien & Peña, Juan Ignacio & Wang, Chih-Wei, 2015. "Industry characteristics and financial risk contagion," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 411-427.
    28. Zhao, Sheng & Moreira, Fernando & Wang, Tong, 2021. "Is solicitation status related to rating conservatism and rating quality?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    29. Abdulaziz Mohammed Alsahlawi & Kaouther Chebbi & Mohammed Abdullah Ammer, 2021. "The Impact of Environmental Sustainability Disclosure on Stock Return of Saudi Listed Firms: The Moderating Role of Financial Constraints," IJFS, MDPI, vol. 9(1), pages 1-17, January.
    30. Mizenand, Paul & Tsoukasy, Serafeim, 2012. "The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises," SIRE Discussion Papers 2012-42, Scottish Institute for Research in Economics (SIRE).
    31. Breig, Christoph & Elsas, Ralf, 2009. "Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System," Discussion Papers in Business Administration 10978, University of Munich, Munich School of Management.
    32. Udichibarna Bose & Sushanta Mallick & Serafeim Tsoukas, 2020. "Does Easing Access to Foreign Financing Matter for Firm Performance?," Working Papers 2020_12, Business School - Economics, University of Glasgow.
    33. Najah Attig, 2024. "Relaxed Financial Constraints and Corporate Social Responsibility," Journal of Business Ethics, Springer, vol. 189(1), pages 111-131, January.
    34. Paul Mizen & Serafeim Tsoukas, 2006. "Evidence on the external finance premium from the US and emerging Asian corporate bond markets," Discussion Papers 06/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    35. Dhole, Sandip & Mishra, Sagarika & Pal, Ananda Mohan, 2019. "Efficient working capital management, financial constraints and firm value: A text-based analysis," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    36. Xavier Giroud & Holger M. Mueller, 2017. "Firms' Internal Networks and Local Economic Shocks," NBER Working Papers 23176, National Bureau of Economic Research, Inc.
    37. Laeven, Luc & Tong, Hui, 2012. "US monetary shocks and global stock prices," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 530-547.
    38. Giovanni Ferri & Pierluigi Murro & Valentina Peruzzi & Zeno Rotondi, 2018. "Bank lending technologies and credit availability in Europe. What can we learn from the crisis?," CERBE Working Papers wpC17, CERBE Center for Relationship Banking and Economics.
    39. Richard Yeaw Chong Seow, 2023. "Comparative Financial Performance and Firm Valuation Analysis: A Malaysian Logistics Service Provider Case Study," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(7), pages 594-613, July.
    40. Yoojin Shin & Jungmi Park, 2022. "Differences in Tax Avoidance According to Corporate Sustainability with a Focus on Delisted Firms," Sustainability, MDPI, vol. 14(11), pages 1-13, May.
    41. Uribe-Bohorquez, María-Victoria & Martínez-Ferrero, Jennifer & García-Sánchez, Isabel-María, 2018. "Board independence and firm performance: The moderating effect of institutional context," Journal of Business Research, Elsevier, vol. 88(C), pages 28-43.
    42. Antzoulatos, Angelos A. & Koufopoulos, Kostas & Lambrinoudakis, Costas & Tsiritakis, Emmanuel, 2016. "Supply of capital and capital structure: The role of financial development," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 166-195.
    43. Fatematuz Tamanna Ahamed & Muhammad Nurul Houqe & Tony van Zijl, 2023. "Meta‐analysis of the impact of financial constraints on firm performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 1671-1707, June.
    44. Khatami, Seyed Hossein & Marchica, Maria-Teresa & Mura, Roberto, 2015. "Corporate acquisitions and financial constraints," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 107-121.
    45. Ang, James S. & Daher, Mai M. & Ismail, Ahmad K., 2019. "How do firms value debt capacity? Evidence from mergers and acquisitions," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 95-107.
    46. Lien, Donald & Yu, Chia-Feng (Jeffrey), 2014. "Time-inconsistent investment, financial constraints, and cash flow hedging," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 72-79.
    47. Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria, 2010. "Crisis "Shock Factors" and the Cross-Section of Global Equity Returns," NBER Working Papers 16559, National Bureau of Economic Research, Inc.
    48. Karavitis, Panagiotis & Kokas, Sotirios & Tsoukas, Serafeim, 2021. "Gender board diversity and the cost of bank loans," Journal of Corporate Finance, Elsevier, vol. 71(C).
    49. Maslinawati Mohamad* & Surendranath Rakesh Jory & Nnamdi Madichie, 2018. "Acquisitions of Financially Constrained Targets," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 868-877:5.
    50. Li, Xiafei & Luo, Di, 2019. "Financial constraints, stock liquidity, and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    51. Dongmei Li & Lu Zhang, 2008. "Costly External Finance: Implications for Capital Markets Anomalies," NBER Working Papers 14342, National Bureau of Economic Research, Inc.
    52. Mulier, Klaas & Schoors, Koen & Merlevede, Bruno, 2016. "Investment-cash flow sensitivity and financial constraints: Evidence from unquoted European SMEs," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 182-197.

  3. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.

    Cited by:

    1. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    2. Pham, Quynh Thi Thuy, 2021. "Stock Return Predictability: Evidence Across US Industries," Finance Research Letters, Elsevier, vol. 38(C).
    3. Patrick Hable & Patrick Launhardt, 2020. "Aggregate insider trading and the prediction of corporate credit spread changes," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 1-31, March.
    4. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    5. Theologos Dergiades & Panos K. Pouliasis, 2021. "Should Stock Returns Predictability be hooked on Long Horizon Regressions?," Discussion Paper Series 2021_03, Department of Economics, University of Macedonia, revised Feb 2021.
    6. Yin, Libo & Nie, Jing, 2021. "Adjusted dividend-price ratios and stock return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 73(C).
    7. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
    8. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
    9. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
    10. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
    11. Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
    12. Zhu, Min & Chen, Rui & Du, Ke & Wang, You-Gan, 2018. "Dividend growth and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 125-137.
    13. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    14. Ilaria Piatti & Fabio Trojani, 2020. "Dividend Growth Predictability and the Price–Dividend Ratio," Management Science, INFORMS, vol. 66(1), pages 130-158, January.
    15. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    16. Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
    17. Yu, Edison G., 2018. "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
    18. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    19. Rebecca Stuart, 2022. "Stock Return Predictability before the First World War," IRENE Working Papers 22-02, IRENE Institute of Economic Research.
    20. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.
    21. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    22. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
    23. Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
    24. Stephan Jank, 2015. "Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability," Management Science, INFORMS, vol. 61(6), pages 1362-1377, June.
    25. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    26. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    27. Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    28. Ruey-Shii Chen & Tai-Wei Zhang, 2018. "Dividend cuts and predictability," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 249-267, April.
    29. Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
    30. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    31. Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
    32. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
    33. Hong, KiHoon & Wu, Eliza, 2016. "The roles of past returns and firm fundamentals in driving US stock price movements," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 62-75.
    34. Long Chen & Zhi Da & Borja Larrain, 2016. "What Moves Investment Growth?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1613-1653, December.
    35. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.
    36. Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
    37. Kwang Hun Choi & Chang‐Jin Kim & Cheolbeom Park, 2017. "Regime Shifts in Price‐Dividend Ratios and Expected Stock Returns: A Present‐Value Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 417-441, March.
    38. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
    39. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
    40. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    41. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
    42. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
    43. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    44. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.
    45. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    46. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
    47. Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
    48. Yun, Jaeho, 2020. "A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX," Economics Letters, Elsevier, vol. 186(C).
    49. Catherine Georgiou, 2020. "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 13(3), pages 56-69, December.
    50. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
    51. Yu, Deshui & Huang, Difang & Chen, Li & Li, Luyang, 2023. "Forecasting dividend growth: The role of adjusted earnings yield," Economic Modelling, Elsevier, vol. 120(C).
    52. Nebojsa Dimic & Vitaly Orlov & Janne Äijö, 2019. "Bond–Equity Yield Ratio Market Timing in Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1), pages 52-79, April.
    53. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    54. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    55. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
    56. Sabine Elmiger, 2019. "CAPM-anomalies: quantitative puzzles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 643-667, October.
    57. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
    58. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    59. Verdickt, Gertjan, 2020. "Is fertility a leading indicator for stock returns?," Finance Research Letters, Elsevier, vol. 33(C).
    60. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
    61. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    62. David G. McMillan, 2021. "Forecasting sector stock market returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 291-300, July.
    63. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
    64. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.
    65. KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2014. "Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model," Research Paper Series 347, Quantitative Finance Research Centre, University of Technology, Sydney.
    66. Yang Bai, 2022. "150 Years of Return Predictability Around the World: A Holistic View," Papers 2209.00121, arXiv.org.
    67. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
    68. Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
    69. Yin, Libo & Liao, Huiyi, 2021. "Big is brilliant: Understanding the Chinese size effect through profitability shocks," International Review of Financial Analysis, Elsevier, vol. 74(C).
    70. McMillan, David G., 2019. "Stock return predictability: Using the cyclical component of the price ratio," Research in International Business and Finance, Elsevier, vol. 48(C), pages 228-242.
    71. Yu, Deshui & Chen, Li & Li, Luyang, 2023. "Time-varying predictability of the long horizon equity premium based on semiparametric regressions," Economics Letters, Elsevier, vol. 224(C).
    72. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    73. Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019. "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 140-159.
    74. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    75. Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.

  4. Long Chen & Xinlei Zhao, 2009. "Return Decomposition," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5213-5249, December.

    Cited by:

    1. Inder K. Khurana & Changjiang Wang, 2015. "Debt Maturity Structure and Accounting Conservatism," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 167-203, January.
    2. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    3. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
    4. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    5. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
    6. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    7. Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    8. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
    9. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
    10. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    11. Kent Wang & Jiawei Li & Shicheng Huang, 2013. "Bad beta good beta, state-space news decomposition and the cross-section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 587-607, June.
    12. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
    13. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
    14. Xanthi Gkougkousi, 2014. "Aggregate Earnings and Corporate Bond Markets," Journal of Accounting Research, Wiley Blackwell, vol. 52(1), pages 75-106, March.
    15. Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
    16. Laih, Yih-Wenn & Lai, Hung-Neng & Li, Chun-An, 2015. "Analyst valuation and corporate value discovery," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 235-248.
    17. Lakdawala, Aeimit & Schaffer, Matthew, 2019. "Federal reserve private information and the stock market," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 34-49.
    18. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    19. Mihai, Marius M. & Mansur, Iqbal, 2022. "Forecasting crash risk in U.S. bank returns—The role of credit booms," Journal of Corporate Finance, Elsevier, vol. 76(C).
    20. Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
    21. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    22. Olaf Stotz, 2021. "Expected and realized returns on stocks with high- and low-ESG exposure," Journal of Asset Management, Palgrave Macmillan, vol. 22(2), pages 133-150, March.
    23. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    24. Carmelo Giaccotto & Alain Krapl, 2014. "Good News and Bad News about Firm-Level Stock Returns of Internationally Exposed Firms," International Review of Finance, International Review of Finance Ltd., vol. 14(4), pages 523-550, December.
    25. Boubaker, Sabri & Hamza, Taher & Vidal-García, Javier, 2018. "Financial distress and equity returns: A leverage-augmented three-factor model," Research in International Business and Finance, Elsevier, vol. 46(C), pages 1-15.
    26. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
    27. Julio Sarmiento & Mehdi Sadeghi & Juan S. Sandoval & Edgardo Cayon, 2021. "The application of proxy methods for estimating the cost of equity for unlisted companies: evidence from listed firms," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1009-1031, October.
    28. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
    29. Yunhao Chen & Xiaoquan Jiang & Bong-Soo Lee, 2015. "Long-Term Evidence on the Effect of Aggregate Earnings on Prices," Financial Management, Financial Management Association International, vol. 44(2), pages 323-351, June.
    30. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
    31. William M. Cready & Umit G. Gurun, 2010. "Aggregate Market Reaction to Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 48(2), pages 289-334, May.
    32. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
    33. Jiang, Xiaoquan & Zaman, Mir A., 2010. "Aggregate insider trading: Contrarian beliefs or superior information?," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1225-1236, June.
    34. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
    35. Krishnamurthy, Srinivasan & Pelletier, Denis & Warr, Richard S., 2018. "Inflation and equity mutual fund flows," Journal of Financial Markets, Elsevier, vol. 37(C), pages 52-69.
    36. Maud Korley & Evangelos Giouvris, 2021. "The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa," JRFM, MDPI, vol. 14(3), pages 1-30, March.
    37. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
    38. Mohrschladt, Hannes & Nolte, Sven, 2018. "A new risk factor based on equity duration," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 126-135.
    39. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
    40. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2019. "Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 58-68.
    41. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
    42. Yu‐Hsi Chou & Chia‐Yi Yen, 2023. "Convenience yield and real exchange rate dynamics: A present‐value interpretation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(2), pages 453-489, May.
    43. Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.
    44. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
    45. Andrew Y. Chen, 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
    46. Mike Qinghao Mao & K. C. John Wei, 2016. "Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns," Management Science, INFORMS, vol. 62(9), pages 2504-2519, September.
    47. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    48. Jeffrey L. Callen, 2016. "Accounting Valuation and Cost of Equity Capital Dynamics," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 5-25, March.
    49. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    50. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    51. Choi, Jung Ho & Kalay, Alon & Sadka, Gil, 2016. "Earnings news, expected earnings, and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 29(C), pages 110-143.
    52. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
    53. Safdar, Irfan, 2018. "The information content of aggregate profitability," The British Accounting Review, Elsevier, vol. 50(5), pages 497-515.
    54. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.
    55. Hoang, Khoa & Cannavan, Damien & Huang, Ronghong & Peng, Xiaowen, 2021. "Predicting stock returns with implied cost of capital: A partial least squares approach," Journal of Financial Markets, Elsevier, vol. 53(C).
    56. Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015. "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 16-33.
    57. Elham Daadmehr, 2024. "Workplace sustainability or financial resilience? Composite-financial resilience index," Risk Management, Palgrave Macmillan, vol. 26(2), pages 1-35, May.
    58. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    59. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2021. "Does cash-flow news play a better role than discount-rate news? Evidence from global regional stock markets," Journal of International Money and Finance, Elsevier, vol. 110(C).
    60. Chou, Yu-Hsi, 2018. "Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 267-287.
    61. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    62. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    63. De Cesari, Amedeo & Huang-Meier, Winifred, 2015. "Dividend changes and stock price informativeness," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 1-17.
    64. Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
    65. Atif Ellahie, 2021. "Earnings beta," Review of Accounting Studies, Springer, vol. 26(1), pages 81-122, March.
    66. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
    67. Cenesizoglu, Tolga, 2011. "Size, book-to-market ratio and macroeconomic news," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 248-270, March.
    68. Shengzhong Huang & Hongping Tan & Xiongyuan Wang & Changqiu Yu, 2023. "Valuation uncertainty and analysts’ use of DCF models," Review of Accounting Studies, Springer, vol. 28(2), pages 827-861, June.
    69. Herculano, Miguel C. & Lütkebohmert, Eva, 2023. "Investor sentiment and global economic conditions," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 134-152.
    70. Tolga Cenesizoglu, 2010. "Size, Book-to-Market Ratio and Macroeconomic News," Cahiers de recherche 1033, CIRPEE.
    71. Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
    72. Ball, Ray & Sadka, Gil, 2015. "Aggregate earnings and why they matter," Journal of Accounting Literature, Elsevier, vol. 34(C), pages 39-57.
    73. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
    74. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, C.E.P.R. Discussion Papers.
    75. Seungmin Chee & Richard Sloan & Aydin Uysal, 2013. "A framework for value investing," Australian Journal of Management, Australian School of Business, vol. 38(3), pages 599-633, December.
    76. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
    77. Ruan, Qingsong & Wang, Zilin & Zhou, Yaping & Lv, Dayong, 2020. "A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China," Economic Modelling, Elsevier, vol. 88(C), pages 47-58.
    78. William Hardin & Xiaoquan Jiang & Zhonghua Wu, 2012. "REIT Stock Prices with Inflation Hedging and Illusion," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 262-287, June.
    79. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 573-589, September.
    80. Maurer, Tim D. & Nitschka, Thomas, 2023. "Stock market evidence on the international transmission channels of US monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 136(C).
    81. Khimich, Natalya, 2017. "A comparison of alternative cash flow and discount rate news proxies," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 31-52.
    82. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
    83. Balakrishnan, Karthik & Shivakumar, Lakshmanan & Taori, Peeyush, 2021. "Analysts’ estimates of the cost of equity capital," Journal of Accounting and Economics, Elsevier, vol. 71(2).
    84. Pan, Zheyao & Chan, Kam Fong, 2018. "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 200-215.
    85. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
    86. Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
    87. Suresh Nallareddy & Maria Ogneva, 2017. "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, vol. 22(2), pages 503-542, June.
    88. Liu, Naiping & Zhang, Lu, 2008. "Is the value spread a useful predictor of returns?," Journal of Financial Markets, Elsevier, vol. 11(3), pages 199-227, August.
    89. Mao, Mike Qinghao & Wei, K.C. John, 2014. "Price and earnings momentum: An explanation using return decomposition," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 332-351.
    90. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    91. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.

  5. Long Chen & Pierre Collin-Dufresne & Robert S. Goldstein, 2009. "On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3367-3409, September.

    Cited by:

    1. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
    2. Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
    3. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
    4. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
    5. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    6. Dionne, Georges & Maalaoui Chun, Olfa, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Working Papers 13-4, HEC Montreal, Canada Research Chair in Risk Management.
    7. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "Modeling credit contagion via the updating of fragile beliefs," Working Paper Series WP-2012-04, Federal Reserve Bank of Chicago.
    8. Zhijian (James) Huang & Yuchen Luo, 2016. "Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market," JRFM, MDPI, vol. 9(2), pages 1-20, May.
    9. Hui Chen & Gustavo Manso, 2017. "Macroeconomic Risk and Debt Overhang," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 6(1), pages 1-38.
    10. Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014. "Option-Based Credit Spreads," NBER Working Papers 20776, National Bureau of Economic Research, Inc.
    11. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
    12. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
    13. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
    14. Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
    15. Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Temi di discussione (Economic working papers) 36, Bank of Italy, Economic Research and International Relations Area.
    16. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
    17. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
    18. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
    19. Carlos González-Aguado & Max Bruche, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," FMG Discussion Papers dp572, Financial Markets Group.
    20. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    21. Trebesch, Christoph & Meyer, Josefin & Reinhart, Carmen, 2022. "Sovereign Bonds since Waterloo," CEPR Discussion Papers 13514, C.E.P.R. Discussion Papers.
    22. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    23. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, vol. 107(2), pages 350-385.
    24. Georges Dionne & Olfa Maalaoui Chun, 2013. "Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1160-1195, November.
    25. Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia [Fallen angels and price pressure]," Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
    26. Xavier Mateos-Planas & Jose-Victor Rios-Rull & Cristina Arellano, 2013. "Partial Default," 2013 Meeting Papers 765, Society for Economic Dynamics.
      • Cristina Arellano & Xavier Mateos-Planas & José-Víctor Ríos-Rull, 2019. "Partial Default," NBER Working Papers 26076, National Bureau of Economic Research, Inc.
      • Cristina Arellano & Xavier Mateos-Planas & José-Víctor Ríos-Rull, 2019. "Partial Default," Staff Report 589, Federal Reserve Bank of Minneapolis.
      • Cristina Arellano & Xavier Mateos-Planas & Jose-Victor Rios-Rull, 2019. "Partial Default," Discussion Papers 1911, Centre for Macroeconomics (CFM).
    27. Brent Glover, "undated". "The Expected Cost of Default," GSIA Working Papers 2011-E23, Carnegie Mellon University, Tepper School of Business.
    28. Yang, Shanxiang & Liu, Zhechen & Wang, Xinjie, 2020. "News sentiment, credit spreads, and information asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    29. Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang, 2010. "On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches," NBER Working Papers 15734, National Bureau of Economic Research, Inc.
    30. Lei, Jin & Qiu, Jiaping & Wan, Chi & Yu, Fan, 2021. "Credit risk spillovers and cash holdings," Journal of Corporate Finance, Elsevier, vol. 68(C).
    31. Heitor Almeida & Thomas Philippon, 2007. "The Risk‐Adjusted Cost of Financial Distress," Journal of Finance, American Finance Association, vol. 62(6), pages 2557-2586, December.
    32. Kwon, Dohyoung, 2020. "Risk Shocks and Credit Spreads," Journal of Macroeconomics, Elsevier, vol. 64(C).
    33. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2014. "Dynamic Dispersed Information and the Credit Spread Puzzle," NBER Working Papers 19788, National Bureau of Economic Research, Inc.
    34. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2010. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers 10-6, HEC Montreal, Canada Research Chair in Risk Management.
    35. Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea, 2013. "Do investors care about credit ratings? An analysis through the cycle," Journal of Financial Stability, Elsevier, vol. 9(4), pages 545-555.
    36. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    37. Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "Economic Uncertainty, Disagreement, and Credit Markets," Management Science, INFORMS, vol. 60(5), pages 1281-1296, May.
    38. Satoshi Yamashita & Toshinao Yoshiba, 2010. "Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value," IMES Discussion Paper Series 10-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
    39. Mr. Stefan W. Schmitz & Michael Sigmund & Ms. Laura Valderrama, 2017. "Bank Solvency and Funding Cost: New Data and New Results," IMF Working Papers 2017/116, International Monetary Fund.
    40. Perrakis, Stylianos & Zhong, Rui, 2015. "Credit spreads and state-dependent volatility: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 215-231.
    41. Luca Benzoni & Lorenzo Garlappi & Robert Goldstein, 2023. "Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads," Management Science, INFORMS, vol. 69(7), pages 4331-4352, July.
    42. Hull, John & White, Alan, 2013. "Credit Derivatives," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1363-1396, Elsevier.
    43. Yalin Gündüz & Marliese Uhrig-Homburg, 2014. "Does modeling framework matter? A comparative study of structural and reduced-form models," Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
    44. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
    45. Günter Franke, 2013. "Known Unknowns in Verbriefungen," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 1-34, January.
    46. João F. Gomes & Lukas Schmid, 2021. "Equilibrium Asset Pricing with Leverage and Default," Journal of Finance, American Finance Association, vol. 76(2), pages 977-1018, April.
    47. Sara Cecchetti & Marco Taboga, 2017. "Assessing the risks of asset overvaluation: models and challenges," Temi di discussione (Economic working papers) 1114, Bank of Italy, Economic Research and International Relations Area.
    48. Petrella, Giovanni & Resti, Andrea, 2017. "What drives the liquidity of sovereign bonds when markets are under stress? An assessment of the new Basel 3 rules on bank liquid assets," Journal of Financial Stability, Elsevier, vol. 33(C), pages 297-310.
    49. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
    50. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank.
    51. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010. "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, June.
    52. Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein, 2019. "Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads," Working Paper Series WP-2019-8, Federal Reserve Bank of Chicago.
    53. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    54. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
    55. Wang, Hao & Zhou, Hao & Zhou, Yi, 2013. "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3733-3746.
    56. Emil Siriwardane, 2014. "Using proprietary credit default swap (CDS) data from 2010 to 2014, I show that capital fluctuations for sellers of CDS protection are an important determinant of CDS spread movements. I first establi," Working Papers 14-10, Office of Financial Research, US Department of the Treasury, revised 12 Feb 2015.
    57. Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan, 2016. "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers 16-1, HEC Montreal, Canada Research Chair in Risk Management.
    58. Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
    59. Ananth Ramanarayanan & Cristina Arellano, 2008. "Default and the Maturity Structure in Sovereign Bonds," 2008 Meeting Papers 479, Society for Economic Dynamics.
    60. Docherty, Paul & Easton, Steve, 2018. "State-varying illiquidity risk in sovereign bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 235-248.
    61. Hung, Chih-Hsing & Chen, Ming-Chi & Lin, Wen-Yuan, 2014. "The relationship with REITs and bank loans: Capital structure perspectives," Finance Research Letters, Elsevier, vol. 11(2), pages 140-152.
    62. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
    63. Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
    64. Christopher A Hennessy & Boris Radnaev, 2018. "Learning and Leverage Cycles in General Equilibrium: Theory and Evidence [How sensitive is investment to cash flow when financing is frictionless?]," Review of Finance, European Finance Association, vol. 22(1), pages 311-335.
    65. Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon, 2013. "An empirical study of credit spreads in an emerging market: The case of Korea," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 952-966.
    66. Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2014. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Documentos de Trabajo del ICAE 2014-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    67. Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.
    68. Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014. "Option-Based Credit Spreads," CEPR Discussion Papers 10318, C.E.P.R. Discussion Papers.
    69. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
    70. Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2014. "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle," NBER Working Papers 20638, National Bureau of Economic Research, Inc.
    71. Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016. "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers 11576, C.E.P.R. Discussion Papers.
    72. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
    73. Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers 14863, National Bureau of Economic Research, Inc.
    74. Yang Liu & Amir Yaron & Lukas Schmid, 2019. "The Risks of Safe Assets," 2019 Meeting Papers 1418, Society for Economic Dynamics.
    75. Jang, Bong-Gyu & Rhee, Yuna & Yoon, Ji Hee, 2016. "Business cycle and credit risk modeling with jump risks," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 15-36.
    76. Gabriela Nodari, 2013. "Financial Regulation Policy Uncertainty and Credit Spreads in the U.S," "Marco Fanno" Working Papers 0170, Dipartimento di Scienze Economiche "Marco Fanno".
    77. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
    78. Zsuzsa Huszár & George Lentz & Wei Yu, 2012. "Does mandatory disclosure affect subprime lending to minority neighborhoods?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(4), pages 900-924, October.
    79. Andrew Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2013. "Measuring the financial soundness of U.S. firms, 1926-2012," Staff Report 484, Federal Reserve Bank of Minneapolis.
    80. Feldhütter, Peter & Schaefer, Stephen, 2023. "Debt dynamics and credit risk," Journal of Financial Economics, Elsevier, vol. 149(3), pages 497-535.
    81. Hui Chen & Yu Xu & Jun Yang, 2012. "Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads," Staff Working Papers 12-27, Bank of Canada.
    82. Chen, Zhiyao & Hackbarth, Dirk & Strebulaev, Ilya A., 2022. "A unified model of distress risk puzzles," Journal of Financial Economics, Elsevier, vol. 146(2), pages 357-384.
    83. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    84. Gehrig, Thomas & Füss, Roland & Rindler, Philipp B, 2011. "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers 8714, C.E.P.R. Discussion Papers.
    85. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
    86. Niu, Huawei & Hua, Wei, 2019. "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, vol. 78(C), pages 47-59.
    87. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    88. Robert Goldberg, 2015. "A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 733-754, May.
    89. Di Bu & Simone Kelly & Yin Liao & Qing Zhou, 2018. "A hybrid information approach to predict corporate credit risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1062-1078, September.
    90. Massa, Massimo & Žaldokas, Alminas, 2017. "Information transfers among co-owned firms," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 77-92.
    91. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
    92. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 177-210, June.
    93. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
    94. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    95. Jianjun Miao & PENGFEI WANG, 2010. "Credit Risk and Business Cycles," Boston University - Department of Economics - Working Papers Series WP2010-033, Boston University - Department of Economics.
    96. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers 08-29, Bank of Canada.
    97. Hui Chen, 2010. "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," Journal of Finance, American Finance Association, vol. 65(6), pages 2171-2212, December.
    98. Lugo, Stefano, 2014. "Discretionary ratings and the pricing of subprime mortgage-backed securities," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 248-260.
    99. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2021. "Dispersed Information and Asset Prices," Working Papers hal-03118639, HAL.
    100. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
    101. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
    102. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
    103. Gan, Liu & Xia, Xin & Chen, Yifei, 2018. "Investment and financing choices by time-inconsistent managers," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 29-48.
    104. Eisenthal-Berkovitz, Yael & Feldhütter, Peter & Vig, Vikrant, 2020. "Leveraged buyouts and bond credit spreads," Journal of Financial Economics, Elsevier, vol. 135(3), pages 577-601.
    105. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
    106. Schläfer, Timo & Uhrig-Homburg, Marliese, 2014. "Is recovery risk priced?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 257-270.
    107. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, Department of Economics and Business Economics, Aarhus University.
    108. Giovanni Petrella & Andrea Resti, 2016. "An empirical analysis of Eurozone government bonds liquidity: Determinants, predictability and implications for the new bank prudential rules," BAFFI CAREFIN Working Papers 1645, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    109. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," Working Papers hal-04141194, HAL.
    110. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
    111. Yihong Ma, Simon Cottrell, Sarath Delpachitra, Xiao Yu, Ping Jiang, and Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    112. Junchi Ma & Mobolaji Ogunsolu & Jinniao Qiu & Ayşe Deniz Sezer, 2023. "Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 666-708, July.
    113. Cottrell, Simon & Yu, Xiao & Delpachitra, Sarath & Ma, Yihong, 2021. "What determines wholesale funding costs of the global systemically important banks?," Journal of Banking & Finance, Elsevier, vol. 132(C).
    114. Albagli, Elias & Hellwig, Christian & Tsyvinski, Aleh, 2021. "Information Aggregation with Asymmetric Asset Payoffs," TSE Working Papers 21-1172, Toulouse School of Economics (TSE), revised Apr 2023.
    115. Luca Benzoni & Robert S. Goldstein, 2015. "Estimating the Tax and Credit-Event Risk Components of Credit Spreads," Working Paper Series WP-2017-17, Federal Reserve Bank of Chicago.
    116. Johnson, Timothy C. & Lee, Jaehoon, 2014. "On the systematic volatility of unpriced earnings," Journal of Financial Economics, Elsevier, vol. 114(1), pages 84-104.
    117. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris Nanterre, EconomiX.
    118. Hao Wang & Hao Zhou & Yi Zhou, 2011. "Credit default swap spreads and variance risk premia," Finance and Economics Discussion Series 2011-02, Board of Governors of the Federal Reserve System (U.S.).
    119. Andrea Gamba & Alessio Saretto, 2020. "Growth Options and Credit Risk," Management Science, INFORMS, vol. 66(9), pages 4269-4291, September.
    120. Glover, Brent, 2016. "The expected cost of default," Journal of Financial Economics, Elsevier, vol. 119(2), pages 284-299.
    121. Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
    122. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
    123. Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
    124. Klein, Arne C. & Pliszka, Kamil, 2018. "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers 14/2018, Deutsche Bundesbank.
    125. Lamont K. Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
    126. Peter Christoffersen & Du Du & Redouane Elkamhi, 2017. "Rare Disasters, Credit, and Option Market Puzzles," Management Science, INFORMS, vol. 63(5), pages 1341-1364, May.
    127. Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan, 2014. "The determinants of global bank credit-default-swap spreads," Bank of Finland Research Discussion Papers 33/2014, Bank of Finland.
    128. Banu Simmons-Sueer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
    129. Zehra Eksi & Damir Filipovi'c, 2020. "Affine Pricing and Hedging of Collateralized Debt Obligations," Papers 2011.10101, arXiv.org.
    130. Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
    131. Matthias Fleckenstein & Francis A. Longstaff, 2023. "Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," Journal of Finance, American Finance Association, vol. 78(1), pages 389-425, February.
    132. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 105-127, March.

  6. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
    See citations under working paper version above.
  7. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
    See citations under working paper version above.
  8. Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, vol. 62(1), pages 119-149, February.

    Cited by:

    1. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS.
    2. Trebesch, Christoph & Zettelmeyer, Jeromin, 2018. "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," Kiel Working Papers 2101, Kiel Institute for the World Economy (IfW Kiel).
    3. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers CNMV Working Papers no. 5, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    4. Boubakri, Narjess & Ghouma, Hatem, 2010. "Control/ownership structure, creditor rights protection, and the cost of debt financing: International evidence," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2481-2499, October.
    5. Sergio Mayordomo & Juan Ignacio Pe~na & Eduardo S. Schwartz, 2022. "Are all Credit Default Swap Databases equal?," Papers 2202.02273, arXiv.org.
    6. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
    7. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
    8. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    9. Jean-Pascal Bassino & Thomas Lagoarde-Segot, 2015. "Informational efficiency in the Tokyo Stock Exchange, 1931–40," Economic History Review, Economic History Society, vol. 68(4), pages 1226-1249, November.
    10. Sebastian Utz & Martina Weber & Maximilian Wimmer, 2016. "German Mittelstand bonds: yield spreads and liquidity," Journal of Business Economics, Springer, vol. 86(1), pages 103-129, January.
    11. Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
    12. Chia-Cheng Chen & Chia-Li Tai & Yi-Sheng Liu, 2020. "Illiquidity Premium and Monetary Conditions in Emerging Markets: An Empirical Examination of Taiwan Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 109-117.
    13. Simeth, Nagihan, 2022. "The value of external reviews in the secondary green bond market," Finance Research Letters, Elsevier, vol. 46(PA).
    14. Alexandridis, George & Kavussanos, Manolis G. & Kim, Chi Y. & Tsouknidis, Dimitris A. & Visvikis, Ilias D., 2018. "A survey of shipping finance research: Setting the future research agenda," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 115(C), pages 164-212.
    15. Iyer, Subramanian R. & Simkins, Betty J. & Wang, Heng, 2020. "Cyberattacks and impact on bond valuation," Finance Research Letters, Elsevier, vol. 33(C).
    16. Febi Wulandari & Dorothea Schäfer & Andreas Stephan & Chen Sun, 2018. "Liquidity Risk and Yield Spreads of Green Bonds," Discussion Papers of DIW Berlin 1728, DIW Berlin, German Institute for Economic Research.
    17. Faruk, Balli, 2006. "New Patterns in International Portfolio Allocation and Income Smoothing," MPRA Paper 10121, University Library of Munich, Germany, revised 14 Aug 2008.
    18. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021. "Measuring Corporate Bond Market Dislocations," Staff Reports 957, Federal Reserve Bank of New York.
    19. Dionne, Georges & Maalaoui Chun, Olfa, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Working Papers 13-4, HEC Montreal, Canada Research Chair in Risk Management.
    20. Hammami, Yacine & Bahri, Maha, 2016. "On the determinants of expected corporate bond returns in Tunisia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 224-235.
    21. Zhijian (James) Huang & Yuchen Luo, 2016. "Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market," JRFM, MDPI, vol. 9(2), pages 1-20, May.
    22. Karampatsas, Nikolaos & Petmezas, Dimitris & Travlos, Nickolaos G., 2014. "Credit ratings and the choice of payment method in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 474-493.
    23. Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015. "The Financial Stress Index: Identification of Systemic Risk Conditions," Risks, MDPI, vol. 3(3), pages 1-25, September.
    24. Han-Hsing Lee, 2020. "Distress risk, product market competition, and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 1093-1135, October.
    25. Ali Nejadmalayeri & Sheri Faircloth & Jeanne Wendel & Surya Chelikani, 2017. "GASB mandatory disclosure rules and municipal bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 49(2), pages 379-405, August.
    26. Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012. "Tiebreaker: Certification and Multiple Credit Ratings," Journal of Finance, American Finance Association, vol. 67(1), pages 113-152, February.
    27. Patricio Valenzuela, 2013. "Rollover risk and corporate bond spreads," Documentos de Trabajo 300, Centro de Economía Aplicada, Universidad de Chile.
    28. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
    29. Nanda, Vikram & Wu, Wei & Zhou, Xing (Alex), 2019. "Investment Commonality across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(6), pages 2543-2574, December.
    30. Emre Su & Kaya Tokmakçıoğlu, 2023. "Determinants of bid-ask spread in emerging sovereign bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 346-352, September.
    31. Yakov Amihud & Haim Mendelson, 2008. "Liquidity, the Value of the Firm, and Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 32-45, March.
    32. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
    33. Lifang Li & Valentina Galvani, 2021. "Informed Trading and Momentum in the Corporate Bond Market [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 25(6), pages 1773-1816.
    34. Mai, Nhat Chi, 2010. "An investigation of the factors influencing the development of corporate bonds market: the case of Kenyan financial market," OSF Preprints 3prdz, Center for Open Science.
    35. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    36. Tobias Adrian & Nina Boyarchenko & Or Shachar, 2016. "Dealer balance sheets and bond liquidity provision," Staff Reports 803, Federal Reserve Bank of New York.
    37. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
    38. Xuanjuan Chen & Jing-Zhi Huang & Zhenzhen Sun & Tong Yao & Tong Yu, 2020. "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market," Management Science, INFORMS, vol. 66(2), pages 932-957, February.
    39. Fernandes, Marcelo & Nunes, Ricardo, 2014. "Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    40. Anthony, John & Docherty, Paul & Lee, Doowon & Shamsuddin, Abul, 2017. "Liquidity commonality in the secondary corporate loan market," Economics Letters, Elsevier, vol. 161(C), pages 10-14.
    41. Jiang, Zhiqian & Xu, Yue & Fang, Mei & Tang, Ziling & Tao, Chunhua, 2023. "How does the bond market price corporate ESG engagement? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1406-1423.
    42. Anna Kovner & Chenyang Wei, 2012. "The private premium in public bonds," Working Papers 12-7, Federal Reserve Bank of Philadelphia.
    43. Radygin, Alexander (Радыгин, Александр) & Akshentceva, Kseniia (Акшенцева, Ксения) & Chernovа, Maria (Чернова, Мария) & Abramov, Alexander (Абрамов, Александр), 2017. "Factors Affecting the Liquidity of Corporate Bonds [Факторы, Влияющие На Ликвидность Корпоративных Облигаций]," Working Papers 041706, Russian Presidential Academy of National Economy and Public Administration.
    44. Mann, Steven V. & Powers, Eric A., 2007. "Determinants of bond tender premiums and the percentage tendered," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 547-566, March.
    45. Deng, Yongheng & Gabriel, Stuart A. & Sanders, Anthony B., 2011. "CDO market implosion and the pricing of subprime mortgage-backed securities," Journal of Housing Economics, Elsevier, vol. 20(2), pages 68-80, June.
    46. Massimo Pinna, 2015. "An Empirical Analysis of the Municipal Bond Market in Italy: Sovereign Risk and Sub-Sovereign Levels of Government," Public Budgeting & Finance, Wiley Blackwell, vol. 35(3), pages 68-94, September.
    47. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
    48. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
    49. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
    50. Robert N. Collender, 2008. "Enterprise Credit Default Swaps and Market Discipline – Preliminary Analysis," FHFA Staff Working Papers 08-02, Federal Housing Finance Agency.
    51. Hatem Ben-Ameur & Tarek Fakhfakh & Alexandre Roch, 2024. "Valuing Corporate Securities When the Firm’s Assets are Illiquid," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 579-598, February.
    52. Rahaman, Mohammad M. & Rau, P. Raghavendra & Zaman, Ashraf Al, 2020. "The effect of supply chain power on bank financing," Journal of Banking & Finance, Elsevier, vol. 114(C).
    53. Calice, Giovanni & Mio, RongHui & Štěrba, Filip & Vašíček, Bořek, 2015. "Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 174-189.
    54. Chengzhu Sun & Shujing Wang & Chu Zhang, 2021. "Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets," Management Science, INFORMS, vol. 67(9), pages 5755-5775, September.
    55. Chen, Long & Zhao, Xinlei, 2006. "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Finance Research Letters, Elsevier, vol. 3(4), pages 253-266, December.
    56. Ana-Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "On the Effect of Green Bonds on the Profitability and Credit Quality of Project Financing," Sustainability, MDPI, vol. 12(16), pages 1-19, August.
    57. Karimalis, Emmanouil & Kosmidis, Ioannis & Peters, Gareth, 2017. "Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies," Bank of England working papers 655, Bank of England.
    58. Zhou, Xinghua & Reesor, R. Mark, 2015. "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 293-310.
    59. Zhao, Yang & Yu, Min-Teh, 2019. "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 197-210.
    60. Andreas Blöchlinger, 2018. "Credit Rating and Pricing: Poles Apart," JRFM, MDPI, vol. 11(2), pages 1-26, May.
    61. Dorfleitner, Gregor & Eckberg, Jens & Utz, Sebastian, 2023. "Greenness ratings and green bond liquidity," Finance Research Letters, Elsevier, vol. 55(PA).
    62. Field, Laura Casares & Mkrtchyan, Anahit & Wang, Yuan, 2022. "Bond liquidity and investment," Journal of Banking & Finance, Elsevier, vol. 145(C).
    63. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    64. Huang, Guan-Ying & Huang, Henry H. & Lee, Chun I, 2019. "Is CEO pay disparity relevant to seasoned bondholders?," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 271-289.
    65. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
    66. Keßler, Andreas & Mählmann, Thomas, 2022. "Trading costs of private debt," Journal of Financial Markets, Elsevier, vol. 59(PB).
    67. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
    68. Georges Dionne & Olfa Maalaoui Chun, 2013. "Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1160-1195, November.
    69. Jaskowski, Marcin & Rettl, Daniel A., 2023. "Information acquisition costs and credit spreads," Journal of Banking & Finance, Elsevier, vol. 149(C).
    70. Zhiguo He & Wei Xiong, 2010. "Rollover Risk and Credit Risk," NBER Working Papers 15653, National Bureau of Economic Research, Inc.
    71. Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
    72. Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
    73. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers 22/12, School of Economics and Business Administration, University of Navarra.
    74. Hlouskova, Jaroslava & Sögner, Leopold, 2015. "GMM Estimation of Affine Term Structure Models," Economics Series 315, Institute for Advanced Studies.
    75. Ghouma, Hatem, 2017. "How does managerial opportunism affect the cost of debt financing?," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 13-29.
    76. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
    77. Boutabba, Mohamed Amine & Rannou, Yves, 2022. "Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects," International Review of Financial Analysis, Elsevier, vol. 81(C).
    78. Konstantinov, Gueorgui S. & Fabozzi, Frank J., 2021. "Towards a dead end? EMU bond market exposure and manager performance," Journal of International Money and Finance, Elsevier, vol. 116(C).
    79. Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," Sciences Po publications 2016-02, Sciences Po.
    80. F. Wang & Ting Zhang, 2014. "The effect of unfunded pension liabilities on corporate bond ratings, default risk, and recovery rate," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 781-802, November.
    81. Jayadev M. & Joshy Jacob, 2010. "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(1), pages 51-70, April.
    82. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012. "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, vol. 105(1), pages 18-36.
    83. Nguyen, Minh, 2020. "Collateral haircuts and bond yields in the European government bond markets," International Review of Financial Analysis, Elsevier, vol. 69(C).
    84. Hami Amiraslani & Karl V. Lins & Henri Servaes & Ane Tamayo, 2023. "Trust, social capital, and the bond market benefits of ESG performance," Review of Accounting Studies, Springer, vol. 28(2), pages 421-462, June.
    85. Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020. "Debt De-risking," BIS Working Papers 868, Bank for International Settlements.
    86. Thorsell, Håkan, 2009. "Returns to Defaulted Corporate Bonds," SSE/EFI Working Paper Series in Business Administration 2009:7, Stockholm School of Economics.
    87. Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?," Staff Analytical Notes 2018-30, Bank of Canada.
    88. Andreasen, Eugenia & Schindler, Martin & Valenzuela, Patricio, 2015. "Capital Controls and the Cost of Debt," Working Papers 15-02, University of Pennsylvania, Wharton School, Weiss Center.
    89. Stéphanie Collet & Kim Oosterlinck, 2019. "Denouncing Odious Debts," ULB Institutional Repository 2013/296946, ULB -- Universite Libre de Bruxelles.
    90. Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2010. "The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    91. Wei Cui & Sören Radde, 2020. "Search-based Endogenous Asset Liquidity and the Macroeconomy [Why Don’t US Issuers Demand European Fees for IPOs?]," Journal of the European Economic Association, European Economic Association, vol. 18(5), pages 2221-2269.
    92. Huang, Tao & Jiang, Liang & Li, Junye, 2023. "Downside variance premium, firm fundamentals, and expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 154(C).
    93. Krista Schwarz, 2019. "Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads," Review of Finance, European Finance Association, vol. 23(3), pages 557-597.
    94. Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015. "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 157-169.
    95. Maria Jua Bachelet & Leonardo Becchetti & Stefano Manfredonia, 2019. "The Green Bonds Premium Puzzle: The Role of Issuer Characteristics and Third-Party Verification," Sustainability, MDPI, vol. 11(4), pages 1-22, February.
    96. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
    97. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.2], University of Cologne, Centre for Financial Research (CFR).
    98. Yu Gao, 2011. "The Sarbanes‐Oxley Act and the Choice of Bond Market by Foreign Firms," Journal of Accounting Research, Wiley Blackwell, vol. 49(4), pages 933-968, September.
    99. Zhiguo He & Paymon Khorrami & Zhaogang Song, 2022. "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4630-4673.
    100. Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019. "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, vol. 81(C), pages 136-147.
    101. Jess N. Cornaggia & Kimberly J. Cornaggia & John E. Hund, 2017. "Credit Ratings Across Asset Classes: A Long-Term Perspective," Review of Finance, European Finance Association, vol. 21(2), pages 465-509.
    102. Nakashima, Kiyotaka & Saito, Makoto, 2009. "Credit spreads on corporate bonds and the macroeconomy in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 23(3), pages 309-331, September.
    103. Paul Hubert, 2017. "Central Bank information and the effects of monetary shocks," SciencePo Working papers Main hal-03471781, HAL.
    104. James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
    105. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.
    106. Verona, Fabio & Martins, Manuel M.F. & Drumond, Inês, 2017. "Financial shocks, financial stability, and optimal Taylor rules," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 187-207.
    107. Luca Benzoni & Lorenzo Garlappi & Robert Goldstein, 2023. "Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads," Management Science, INFORMS, vol. 69(7), pages 4331-4352, July.
    108. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
    109. Tao Chen & Sidney Leung & Lingmin Xie, 2021. "Does credit rating conservatism matter for corporate tax avoidance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5681-5730, December.
    110. Antonio Rodriguez‐Lopez, 2021. "Liquidity and the International Allocation of Economic Activity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 789-830, May.
    111. Cardella, Laura & Fairhurst, Douglas & Klasa, Sandy, 2021. "What determines the composition of a firm's cash reserves?," Journal of Corporate Finance, Elsevier, vol. 68(C).
    112. Choi, Jaewon & Hoseinzade, Saeid & Shin, Sean Seunghun & Tehranian, Hassan, 2020. "Corporate bond mutual funds and asset fire sales," Journal of Financial Economics, Elsevier, vol. 138(2), pages 432-457.
    113. Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013. "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1018-1028.
    114. Larcker, David F. & Watts, Edward M., 2020. "Where's the greenium?," Journal of Accounting and Economics, Elsevier, vol. 69(2).
    115. Nejadmalayeri, Ali & Mathur, Ike & Singh, Manohar, 2013. "Product market advertising and corporate bonds," Journal of Corporate Finance, Elsevier, vol. 19(C), pages 78-94.
    116. Kedia, Simi & Rajgopal, Shivaram & Zhou, Xing (Alex), 2017. "Large shareholders and credit ratings," Journal of Financial Economics, Elsevier, vol. 124(3), pages 632-653.
    117. De Santis, Roberto A., 2015. "A measure of redenomination risk," Working Paper Series 1785, European Central Bank.
    118. Cici, Gjergji & Gibson, Scott & Moussawi, Rabih, 2017. "Explaining and benchmarking corporate bond returns," CFR Working Papers 17-03, University of Cologne, Centre for Financial Research (CFR).
    119. Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Goehring, Matthias, 2016. "Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations," Working Paper Series 1987, European Central Bank.
    120. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
    121. Elroi Hadad & Haim Kedar-Levy, 2022. "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers 2208.01538, arXiv.org.
    122. Patrick Augustin & Jan Schnitzler, 2021. "Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis," European Financial Management, European Financial Management Association, vol. 27(1), pages 120-146, January.
    123. Yoshio Nozawa, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
    124. Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "The relationship between liquidity and returns on the Chinese stock market," Journal of Asian Economics, Elsevier, vol. 22(3), pages 259-266, June.
    125. Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
    126. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
    127. Stylianos Perrakis & Rui Zhong, 2017. "Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach," European Financial Management, European Financial Management Association, vol. 23(5), pages 873-901, October.
    128. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank.
    129. Verner, Robert & Tkáč, Michal, 2023. "On the predictability of bonds," Finance Research Letters, Elsevier, vol. 57(C).
    130. Das, Sanjiv R. & Hanouna, Paul, 2009. "Hedging credit: Equity liquidity matters," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 112-123, January.
    131. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
    132. Zhou, Yimin & Wei, Xu, 2023. "Bond liquidity, debt maturity and bond risk premium," Finance Research Letters, Elsevier, vol. 54(C).
    133. Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010. "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers 16394, National Bureau of Economic Research, Inc.
    134. Nicodemus Simu,, 2017. "Determinants of Indonesian corporate bond yield," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(5), pages 619-629, December.
    135. Alquist, Ron, 2010. "How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange," Journal of International Economics, Elsevier, vol. 82(2), pages 219-229, November.
    136. Díaz, Antonio & Escribano, Ana, 2017. "Liquidity measures throughout the lifetime of the U.S. Treasury bond," Journal of Financial Markets, Elsevier, vol. 33(C), pages 42-74.
    137. Akdoğu, Evrim & Alp, Aysun, 2016. "Credit risk and governance: Evidence from credit default swap spreads," Finance Research Letters, Elsevier, vol. 17(C), pages 211-217.
    138. Chavaz, Matthieu & Flandreau, Marc, 2015. "‘High and dry’: the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880–1910)," Bank of England working papers 555, Bank of England.
    139. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    140. Drago, Danilo & Tommaso, Caterina Di & Thornton, John, 2017. "What determines bank CDS spreads? Evidence from European and US banks," Finance Research Letters, Elsevier, vol. 22(C), pages 140-145.
    141. Im, Hyun Joong & Faff, Robert & Ha, Chang Yong, 2022. "Uncertainty, investment spikes, and corporate leverage adjustments," Journal of Banking & Finance, Elsevier, vol. 145(C).
    142. Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein, 2019. "Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads," Working Paper Series WP-2019-8, Federal Reserve Bank of Chicago.
    143. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
    144. Stefano Ugolini, 2010. "Universal Banking and the Development of Secondary Corporate Debt Markets: Lessons from 1830s Belgium," Working Paper 2010/21, Norges Bank.
    145. Donatien Hainaut, 2016. "A bivariate Hawkes process based model, for interest rates," Post-Print hal-01458162, HAL.
    146. Demir Bektić & Tobias Regele, 2018. "Exploiting uncertainty with market timing in corporate bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 79-92, March.
    147. Kwamie Dunbar & Albert J. Edwards, 2007. "Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect," Working papers 2007-10, University of Connecticut, Department of Economics.
    148. Yinghui Chen & Lunan Jiang, 2021. "Liquidity risk and corporate bond yield spread: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1117-1151, December.
    149. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
    150. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
    151. Anderson, Mike, 2017. "A causal link between bond liquidity and stock returns," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 190-208.
    152. Jochen Güntner & Benjamin Karner, 2023. "The bond agio premium," Economics working papers 2023-13, Department of Economics, Johannes Kepler University Linz, Austria.
    153. Shim, Ilhyock & Zhu, Haibin, 2014. "The impact of CDS trading on the bond market: Evidence from Asia," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 460-475.
    154. Qing Li & David C. Ling & Masaki Mori & Seow Eng Ong, 2020. "The Wealth Effects of REIT Property Acquisitions and Dispositions: the Creditors’ Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 60(3), pages 308-337, April.
    155. Wei Cui & Sören Radde, 2014. "Search-Based Endogenous Illiquidity and the Macroeconomy," Discussion Papers of DIW Berlin 1367, DIW Berlin, German Institute for Economic Research.
    156. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
    157. Marques, Manuel O. & Pinto, João M., 2020. "A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance," Journal of Corporate Finance, Elsevier, vol. 62(C).
    158. Raquel M. Gaspar & Patrícia Pereira, 2011. "Liquidity Risk Premia: An Empirical Analysis Of European Corporate Bond Yields," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(2), pages 131-152.
    159. Wolfgang Aussenegg & Lukas Goetz & Ranko Jelic, 2015. "Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis," European Financial Management, European Financial Management Association, vol. 21(2), pages 265-308, March.
    160. Katarzyna Platt, 2020. "Corporate Bonds And Product Market Competition," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 615-647, August.
    161. Mariantonietta Intonti & Laura Serlenga & Giovanni Ferri & Matteo De Leonardis & Giuseppe Starace, 2023. "The “Greenium” in Green Bonds: How Did It Change with COVID-19?," Sustainability, MDPI, vol. 15(7), pages 1-17, March.
    162. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
    163. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers 225, University of Oxford, Department of Economics.
    164. Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche 0905, CIRPEE.
    165. Arnold, Grace E. & Rhodes, Meredith E., 2021. "Information sensitivity of corporate bonds: Evidence from the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 42(C).
    166. Tsung-Kang Chen & Hsien-Hsing Liao & Hsiao-Chun Huang, 2014. "Macroeconomic risks of supply chain counterparties and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 463-481, October.
    167. Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
    168. Alex Annan Abakah, 2020. "Local religious beliefs and municipal bond market outcomes," Financial Management, Financial Management Association International, vol. 49(2), pages 447-471, June.
    169. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
    170. Hattori, Takahiro, 2019. "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, vol. 49(C), pages 61-72.
    171. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
    172. Wei, Xu & Xiao, Xiao & Zhou, Yi & Zhou, Yimin, 2023. "Spillover effects between liquidity risks through endogenous debt maturity," Journal of Financial Markets, Elsevier, vol. 64(C).
    173. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2010. "The TIPS Yield Curve and Inflation Compensation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 70-92, January.
    174. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
    175. Michael A. Goldstein & Edith S. Hotchkiss & David J. Pedersen, 2019. "Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds," JRFM, MDPI, vol. 12(2), pages 1-17, May.
    176. Dimitri Vayanos & Jiang Wang, 2012. "Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition," FMG Discussion Papers dp708, Financial Markets Group.
    177. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    178. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    179. Sergey Chernenko & Adi Sunderam, 2020. "Measuring the Perceived Liquidity of the Corporate Bond Market," NBER Working Papers 27092, National Bureau of Economic Research, Inc.
    180. Ayturk, Yusuf & Asutay, Mehmet & Aksak, Ercument, 2017. "What explains corporate sukuk primary market spreads?," Research in International Business and Finance, Elsevier, vol. 40(C), pages 141-149.
    181. Gemmill, Gordon & Marra, Miriam, 2019. "Explaining CDS prices with Merton’s model before and after the Lehman default," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 93-109.
    182. Efraim Benmelech & Nittai Bergman, 2018. "Debt, Information, and Illiquidity," NBER Working Papers 25054, National Bureau of Economic Research, Inc.
    183. Galema, Rients & Lugo, Stefano, 2021. "When central banks buy corporate bonds: Target selection and impact of the European Corporate Sector Purchase Program," Journal of Financial Stability, Elsevier, vol. 54(C).
    184. Kariyawasam Galoluwage Madurika Nanayakkara & Sisira Colombage, 2021. "Does compliance with Green Bond Principles bring any benefit to make G20’s ‘Green economy plan’ a reality?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4257-4285, September.
    185. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
    186. Antonio Rodriguez-Lopez, 2016. "Liquidity and the International Allocation of Economic Activity," CESifo Working Paper Series 6286, CESifo.
    187. Zeitsch, Peter J., 2019. "A jump model for credit default swaps with hierarchical clustering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 737-775.
    188. Jansen, Kristy, 2021. "Essays on institutional investors, portfolio choice, and asset prices," Other publications TiSEM fd998408-d282-4e0f-b542-4, Tilburg University, School of Economics and Management.
    189. Su-Lien Lu & Kuo-Jung Lee, 2021. "Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan," Sustainability, MDPI, vol. 13(17), pages 1-25, August.
    190. Souad Chaieb, 2021. "The Impact of Cash Holding on Debt Cost," International Journal of Economics and Financial Issues, Econjournals, vol. 11(6), pages 75-93.
    191. Zhang, Ran & Li, Yifei & Tian, Yuan, 2022. "Corporate bonds with implicit government guarantees," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    192. Gareth Campbell & John D. Turner & Qing Ye, 2018. "The liquidity of the London capital markets, 1825–70†," Economic History Review, Economic History Society, vol. 71(3), pages 823-852, August.
    193. Dora Xia & Omar Zulaica, 2022. "The term structure of carbon premia," BIS Working Papers 1045, Bank for International Settlements.
    194. Passadore, Juan & Xu, Yu, 2022. "Illiquidity in sovereign debt markets," Journal of International Economics, Elsevier, vol. 137(C).
    195. Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Leibniz Institute for Financial Research SAFE.
    196. Biao Guo & David Newton, 2013. "Regime-Dependent Liquidity Determinants Of Credit Default Swap Spread Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 279-298, June.
    197. Dodd, Olga & Kalimipalli, Madhu & Chan, Wing, 2021. "Evaluating corporate credit risks in emerging markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    198. Wang, Wenlong & Huang, Yuqin & Watson, John & Yang, Bowen, 2023. "The intra-regional spillover effects of bond defaults: Evidence from the Chinese corporate debt market," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    199. Golec, Pascal & Perotti, Enrico, 2017. "Safe assets: a review," Working Paper Series 2035, European Central Bank.
    200. Maul, D. & Schiereck, D., 2017. "The bond event study methodology since 1974," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 80723, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    201. Flandreau, Marc & Chavaz, Matthieu, 2016. "“High & Dry†: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910)," CEPR Discussion Papers 11679, C.E.P.R. Discussion Papers.
    202. Söhnke M. Bartram & Mark Grinblatt & Yoshio Nozawa, 2020. "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," NBER Working Papers 27655, National Bureau of Economic Research, Inc.
    203. Sondes Draief & Adel Chouaya, 2012. "Effet de la gestion comptable et réelle des résultats sur le coût de la dette : analyse avant et après SOX," Post-Print hal-00691020, HAL.
    204. Prati, Alessandro & Schindler, Martin & Valenzuela, Patricio, 2012. "Who benefits from capital account liberalization? Evidence from firm-level credit ratings data," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1649-1673.
    205. Jiang, Hao & Li, Yi & Sun, Zheng & Wang, Ashley, 2022. "Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 143(1), pages 277-302.
    206. Michael Buchner & Tobias A. Jopp, 2019. "Full steam ahead: Insider knowledge, stock trading and the nationalization of the railways in Prussia around 1879," Working Papers 0151, European Historical Economics Society (EHES).
    207. Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016. "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 307-337.
    208. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
    209. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
    210. João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    211. Servaes, Henri & Amiraslani, Hami & Lins, Karl & Tamayo, Ane, 2017. "A Matter of Trust? The Bond Market Benefits of Corporate Social Capital during the Financial Crisis," CEPR Discussion Papers 12321, C.E.P.R. Discussion Papers.
    212. Kedar nath Mukherjee, 2019. "Demystifying Yield Spread on Corporate Bonds Trades in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 253-284, June.
    213. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    214. Tristan Darwin & Sirimon Treepongkaruna & Robert Faff, 2012. "Determinants of bond spreads: evidence from credit derivatives of Australian firms," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 29-46, April.
    215. Hui Chen & Yu Xu & Jun Yang, 2012. "Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads," Staff Working Papers 12-27, Bank of Canada.
    216. Pasquale De Luca, 2017. "The Company Fundamental Analysis and the Default Risk Ratio," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(10), pages 1-79, September.
    217. Newell, Richard G. & Pizer, William A. & Raimi, Daniel, 2019. "U.S. federal government subsidies for clean energy: Design choices and implications," Energy Economics, Elsevier, vol. 80(C), pages 831-841.
    218. Nejadmalayeri, Ali & Singh, Manohar, 2012. "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2900-2916.
    219. Klein, Christian & Stellner, Christoph, 2014. "Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads," Review of Financial Economics, Elsevier, vol. 23(2), pages 64-74.
    220. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Estimating yield spreads volatility using GARCH-type models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    221. Heidorn, Thomas & Schlamann, Sara, 2022. "The dynamics of rating based credit benchmark curves," Frankfurt School - Working Paper Series 231, Frankfurt School of Finance and Management.
    222. Deniz Anginer & Çelim Yıldızhan, 2018. "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, vol. 22(2), pages 633-660.
    223. Muhammad Saifuddin Khan, 2018. "The Role of Liquidity in Financial Intermediation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2018.
    224. Syed Jawad Hussain Shahzad & Safwan Mohd Nor & Nur Azura Sanusi & Ronald Ravinesh Kumar, 2018. "The Determinants of Credit Risk: Analysis of US Industry-level Indices," Global Business Review, International Management Institute, vol. 19(5), pages 1152-1165, October.
    225. Anténor-Habazac, Cassandre & Dionne, Georges & Guesmi, Sahar, 2018. "Cyclical variations in liquidity risk of corporate bonds," Working Papers 18-3, HEC Montreal, Canada Research Chair in Risk Management.
    226. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2019. "Common risk factors in the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 131(3), pages 619-642.
    227. Chang, Charles & Fuh, Cheng-Der & Kao, Chu-Lan Michael, 2017. "Reading between the ratings: Modeling residual credit risk and yield overlap," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 114-135.
    228. Gehrig, Thomas & Füss, Roland & Rindler, Philipp B, 2011. "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers 8714, C.E.P.R. Discussion Papers.
    229. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
    230. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    231. Mahanti, Sriketan & Nashikkar, Amrut & Subrahmanyam, Marti & Chacko, George & Mallik, Gaurav, 2008. "Latent liquidity: A new measure of liquidity, with an application to corporate bonds," Journal of Financial Economics, Elsevier, vol. 88(2), pages 272-298, May.
    232. Takasu, Yusuke & 高須, 悠介, 2012. "Income Smoothing and the Cost of Bank Loans -The Effect of Information Asymmetry-," Working Paper Series 143, Center for Japanese Business Studies (HJBS), Graduate School of Commerce and Management Hitotsubashi University.
    233. Dasgupta, Amil & Choi, Jaewon & Oh, Ji Yeol Jimmy, 2019. "Bond Funds and Credit Risk," CEPR Discussion Papers 14134, C.E.P.R. Discussion Papers.
    234. Friewald, Nils & Nagler, Florian, 2018. "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers 13345, C.E.P.R. Discussion Papers.
    235. Yinghui Chen & Lunan Jiang, 2019. "Liquidity Risk and Corporate Bond Yield Spread: Evidence from China," CFDS Discussion Paper Series 2019/9, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    236. Hsu, Feng-Jui & Chen, Sheng-Hung, 2021. "US quantitative easing and firm’s default risk: The role of Corporate Social Responsibility (CSR)," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 650-664.
    237. Verona, Fabio & Martins, Manuel M. F. & Drumond, Inês, 2013. "(Un)anticipated monetary policy in a DSGE model with a shadow banking system," Bank of Finland Research Discussion Papers 4/2013, Bank of Finland.
    238. Spiegel, Matthew, 2008. "Patterns in cross market liquidity," Finance Research Letters, Elsevier, vol. 5(1), pages 2-10, March.
    239. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    240. An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
    241. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
    242. Allaudeen Hameed & Jean Helwege & Ran Li & Frank Packer, 2019. "Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 45-62, Bank for International Settlements.
    243. Hafner, Christian & Walders, Fabian, 2017. "Heterogeneous Liquidity Effects in Corporate Bond Spreads," LIDAM Reprints ISBA 2017037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    244. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics, revised 03 Mar 2010.
    245. Santos, João A.C. & Nigro, Peter, 2009. "Is the secondary loan market valuable to borrowers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1410-1428, November.
    246. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
    247. Paulo P. Alves & M. Ricardo Cunha & Luís K. Pacheco & João M. Pinto, 2022. "How Banks Price Loans for LBOs: an Empirical Analysis of Spread Determinants ," Journal of Financial Services Research, Springer;Western Finance Association, vol. 62(3), pages 163-200, December.
    248. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
    249. Ryan T. Ball & Luzi Hail & Florin P. Vasvari, 2018. "Equity cross-listings in the U.S. and the price of debt," Review of Accounting Studies, Springer, vol. 23(2), pages 385-421, June.
    250. Adithi Ramesh & C. B Senthil Kumar, 2017. "Structure and Intensity Based Approach in Credit Risk Models: A Literature Review," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 609-612.
    251. Prabhas Kumar Rath, 2023. "Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 131-164, March.
    252. Demir Bektić, 2018. "The low beta anomaly: A corporate bond investor's perspective," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 300-306, October.
    253. Rao, Ramesh K.S., 2015. "The public corporation as an intermediary between “Main Street” and “Wall Street”," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 64-82.
    254. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
    255. Valentina Bruno & Jess Cornaggia & Kimberly J. Cornaggia, 2016. "Does Regulatory Certification Affect the Information Content of Credit Ratings?," Management Science, INFORMS, vol. 62(6), pages 1578-1597, June.
    256. Gregor Dorfleitner & Sebastian Utz & Rongxin Zhang, 2022. "The pricing of green bonds: external reviews and the shades of green," Review of Managerial Science, Springer, vol. 16(3), pages 797-834, April.
    257. Jara, Mauricio & López-Iturriaga, Félix & San Martín, Pablo & Saona, Paolo & Tenderini, Giannina, 2019. "Chilean pension fund managers and corporate governance: The impact on corporate debt," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 321-337.
    258. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    259. Cici, Gjergji & Zhang, Pei (Alex), 2021. "On the valuation skills of corporate bond mutual funds," CFR Working Papers 21-05, University of Cologne, Centre for Financial Research (CFR).
    260. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    261. Markus Herrmann & Martin Hibbeln, 2023. "Trading and liquidity in the catastrophe bond market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 283-328, June.
    262. Louisa Chen & Liya Shen & Zhiping Zhou, 2023. "Understand funding liquidity and market liquidity in a regime‐switching model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 589-605, January.
    263. Goldstein, Michael A. & Hotchkiss, Edith S., 2020. "Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 16-40.
    264. Kung, Ko-Lun & Hsieh, Ming-Hua & Peng, Jin-Lung & Tsai, Chenghsien Jason & Wang, Jennifer L., 2021. "Explaining the risk premiums of life settlements," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    265. Faruk Balli & Hassan Ghassan & Essam H. Jeefri, 2021. "Sukuk and bond spreads," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(3), pages 529-543, July.
      • Balli, Faruk & Ghassan, Hassan B. & Al-Jefri, Essam H., 2020. "Sukuk and bond spreads," MPRA Paper 106729, University Library of Munich, Germany, revised 20 Jan 2021.
    266. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
    267. Eric Powers & Sergey Tsyplakov, 2008. "What Is the Cost of Financial Flexibility? Theory and Evidence for Make‐Whole Call Provisions," Financial Management, Financial Management Association International, vol. 37(3), pages 485-512, September.
    268. Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
    269. Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010. "From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets," MPRA Paper 22430, University Library of Munich, Germany.
    270. Nejadmalayeri, Ali, 2021. "Asset liquidity, business risk, and beta," Global Finance Journal, Elsevier, vol. 48(C).
    271. Yakov Amihud & Haim Mendelson, 2006. "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 19-32, April.
    272. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
    273. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics.
    274. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
    275. Febi, Wulandari & Schäfer, Dorothea & Stephan, Andreas & Sun, Chen, 2018. "The impact of liquidity risk on the yield spread of green bonds," Finance Research Letters, Elsevier, vol. 27(C), pages 53-59.
    276. Zerbib, Olivier David, 2019. "The effect of pro-environmental preferences on bond prices: Evidence from green bonds," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 39-60.
    277. Nguyen, Trang & Alpert, Karen & Faff, Robert, 2021. "Relative bond-stock liquidity and capital structure choices," Journal of Corporate Finance, Elsevier, vol. 69(C).
    278. Mathur, Ike & Singh, Manohar & Nejadmalayeri, Ali & Jiraporn, Pornsit, 2013. "How do bond investors perceive dividend payouts?," Research in International Business and Finance, Elsevier, vol. 27(1), pages 92-105.
    279. Tang, Dragon Yongjun & Zhang, Yupu, 2020. "Do shareholders benefit from green bonds?," Journal of Corporate Finance, Elsevier, vol. 61(C).
    280. Ricardo Branco & João Pinto & Ricardo Ribeiro, 2020. "The Pricing of Bank Bonds, Sovereign Credit Risk and ECB's Asset Purchase Programmes," Working Papers de Economia (Economics Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    281. Samuel Manser, 2023. "Factors in Swiss franc corporate bond returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 277-296, September.
    282. Apergis, Nicholas & Poufinas, Thomas & Antonopoulos, Alexandros, 2022. "ESG scores and cost of debt," Energy Economics, Elsevier, vol. 112(C).
    283. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
    284. Chen, Long & Zhang, Gaiyan & Zhang, Weina, 2016. "Return predictability in the corporate bond market along the supply chain," Journal of Financial Markets, Elsevier, vol. 29(C), pages 66-86.
    285. Acharya, Viral & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers.
    286. Sun, David & Tsai, Shih-Chuan, 2013. "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper 44767, University Library of Munich, Germany, revised 09 Jan 2014.
    287. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
    288. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
    289. Ødegaard, Bernt Arne, 2016. "Bond Liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2016/16, University of Stavanger.
    290. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
    291. Robert J. Bianchi & Michael E. Drew & Eduardo Roca & Timothy Whittaker, 2017. "Risk factors in Australian bond returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 373-400, June.
    292. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011. "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, vol. 99(3), pages 628-650, March.
    293. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, Department of Economics and Business Economics, Aarhus University.
    294. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
    295. Petra Buzkova & Milos Kopa, 2016. "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 510-538, December.
    296. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    297. Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    298. Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "Do country-level financial structures explain bank-level CDS spreads?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 135-145.
    299. Filippo Coro & Alfonso Dufour & Simone Varotto, 2012. "The Time Varying Properties of Credit and Liquidity Components of CDS Spreads," ICMA Centre Discussion Papers in Finance icma-dp2012-06, Henley Business School, University of Reading.
    300. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
    301. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
    302. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    303. Wei Jiang & Jitao Ou & Zhongyan Zhu, 2021. "Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk," Journal of Finance, American Finance Association, vol. 76(2), pages 537-586, April.
    304. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
    305. Kenneth A. Kriz & Yan Xiao, 2017. "The Impact of Rating Recalibration on Municipal Bond Yield Spreads," Public Budgeting & Finance, Wiley Blackwell, vol. 37(2), pages 83-101, June.
    306. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
    307. Saeed, Momna & Elnahass, Marwa & Izzeldin, Marwan & Tsionas, Mike, 2021. "Yield spread determinants of sukuk and conventional bonds," Economic Modelling, Elsevier, vol. 105(C).
    308. Robert Prilmeier & René M. Stulz, 2019. "Securities Laws, Bank Monitoring, and the Choice Between Cov-lite Loans and Bonds for Highly Levered," NBER Working Papers 25467, National Bureau of Economic Research, Inc.
    309. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    310. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    311. Hale, Galina B. & Jones, Peter C. & Spiegel, Mark M., 2020. "Home currency issuance in international bond markets," Journal of International Economics, Elsevier, vol. 122(C).
    312. Ali Nejadmalayeri & Subramanian Rama Iyer & Manohar Singh, 2017. "Is there an optimally diversified conglomerate? Gleaning answers from capital markets," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 117-158, July.
    313. Liu, Clark & Wang, Shujing & Wei, K.C. John & Zhong, Ninghua, 2019. "The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 57-77.
    314. Wei Hao & Andrew Prevost & Udomsak Wongchoti, 2018. "Are Low Equity R2 Firms More or Less Transparent? Evidence from the Corporate Bond Market," Financial Management, Financial Management Association International, vol. 47(4), pages 865-909, December.
    315. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
    316. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
    317. Petrasek, Lubomir, 2010. "Multimarket trading and the cost of debt: evidence from global bonds," Working Paper Series 1212, European Central Bank.
    318. Jakub Kubiczek, 2020. "Corporate Bond Market in Poland—Prospects for Development," JRFM, MDPI, vol. 13(12), pages 1-13, December.
    319. Chacko, George & Das, Sanjiv & Fan, Rong, 2016. "An index-based measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 162-178.
    320. Luca Benzoni & Robert S. Goldstein, 2015. "Estimating the Tax and Credit-Event Risk Components of Credit Spreads," Working Paper Series WP-2017-17, Federal Reserve Bank of Chicago.
    321. Mäkinen, Taneli & Li, Fan & Mercatanti, Andrea & Silvestrini, Andrea, 2022. "Causal analysis of central bank holdings of corporate bonds under interference," Economic Modelling, Elsevier, vol. 113(C).
    322. Rakkestad, Ketil & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2012. "The liquidity of the Secondary Market for Debt Securities in Norway," UiS Working Papers in Economics and Finance 2012/12, University of Stavanger.
    323. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
    324. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
    325. Vijay A. Murik, 2013. "Bond pricing with a surface of zero coupon yields," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 497-512, June.
    326. Duan Ji & Yuyu Liu & Lin Zhang & Jingjing An & Wenyan Sun, 2020. "Green Social Responsibility and Company Financing Cost-Based on Empirical Studies of Listed Companies in China," Sustainability, MDPI, vol. 12(15), pages 1-16, August.
    327. Nejadmalayeri, Ali & Usman, Adam, 2022. "Real asset liquidity, cash holdings, and the cost of corporate debt," Global Finance Journal, Elsevier, vol. 53(C).
    328. Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014. "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
    329. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 321-334.
    330. Qiu, Jiaping & Yu, Fan, 2009. "The market for corporate control and the cost of debt," Journal of Financial Economics, Elsevier, vol. 93(3), pages 505-524, September.
    331. Mariantonietta Intonti & Laura Serlenga & Giovanni Ferri & Matteo De Leonardis, 2022. "The Green Bond Premium: A Comparative Analysis," CERBE Working Papers wpC40, CERBE Center for Relationship Banking and Economics.
    332. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
    333. Dion Bongaerts & Martijn Cremers & William Goetzmann, 2008. "Tiebreaker: Certification and Multiple Credit Ratings," Yale School of Management Working Papers amz2394, Yale School of Management, revised 01 Sep 2009.
    334. Wei, Jason, 2018. "Behavioral biases in the corporate bond market," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 34-55.
    335. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
    336. Peter Birch Sørensen, 2017. "Taxation and the optimal constraint on corporate debt finance: why a comprehensive business income tax is suboptimal," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 24(5), pages 731-753, September.
    337. de Jong, F.C.J.M. & Driessen, J.J.A.G., 2015. "Can large long-term investors capture illiquidity premiums," Other publications TiSEM 9c92b978-0099-44d3-9aab-8, Tilburg University, School of Economics and Management.
    338. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
    339. Heather Tookes & Brian Henderson, 2010. "Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues," Yale School of Management Working Papers amz2667, Yale School of Management.
    340. Wenxin Du & Jesse Schreger, 2016. "Local Currency Sovereign Risk," Journal of Finance, American Finance Association, vol. 71(3), pages 1027-1070, June.
    341. Coen, Jamie & Lepore, Caterina & Schaanning, Eric, 2019. "Taking regulation seriously: fire sales under solvency and liquidity constraints," Bank of England working papers 793, Bank of England.
    342. Juan Passadore, 2015. "Illiquidity in Sovereign Debt Markets," 2015 Meeting Papers 191, Society for Economic Dynamics.
    343. Wassim Dbouk & Lawrence Kryzanowski, 2010. "Determinants of credit spread changes for the financial sector," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(1), pages 67-82, March.
    344. Kavussanos, Manolis G. & Tsouknidis, Dimitris A., 2014. "The determinants of credit spreads changes in global shipping bonds," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 70(C), pages 55-75.
    345. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
    346. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2991-3006.
    347. Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014. "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance icma-dp2014-15, Henley Business School, University of Reading.
    348. Randall Kroszner, 2016. "A Review of Bank Funding Cost Differentials," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 151-174, June.
    349. Grant Fleming & Frank Liu & David Merrett & Simon Ville, 2021. "The Australian corporate bond market before credit ratings, 1915-83," CEH Discussion Papers 03, Centre for Economic History, Research School of Economics, Australian National University.
    350. Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.
    351. Aleksei Netšunajev & Lars Winkelmann, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers SFB649DP2016-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    352. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    353. Finbarr Murphy & Bernard Murphy, 2012. "A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 351-370, April.
    354. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
    355. El Kalak, Izidin & Leung, Woon Sau & Takahashi, Hidenori & Yamada, Kazuo, 2023. "The Bank of Japan's equity purchases and stock illiquidity," Journal of Financial Markets, Elsevier, vol. 63(C).
    356. Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan, 2014. "The determinants of global bank credit-default-swap spreads," Bank of Finland Research Discussion Papers 33/2014, Bank of Finland.
    357. Lee, Jongsub & Naranjo, Andy & Velioglu, Guner, 2018. "When do CDS spreads lead? Rating events, private entities, and firm-specific information flows," Journal of Financial Economics, Elsevier, vol. 130(3), pages 556-578.
    358. Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.
    359. Abudy, Menachem Meni & Raviv, Alon, 2016. "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 58-69.
    360. Benbouzid, Nadia & Mallick, Sushanta, 2013. "Determinants of bank credit default swap spreads: The role of the housing sector," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 243-259.
    361. Petrasek, Lubomir, 2012. "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2110-2121.
    362. Manfred Frühwirth & Paul Schneider & Leopold Sögner, 2010. "The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market," European Financial Management, European Financial Management Association, vol. 16(4), pages 658-685, September.
    363. Balasubramnian, Bhanu & Cyree, Ken B., 2011. "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 21-35, January.
    364. Helwege, Jean & Wang, Liying, 2021. "Liquidity and price pressure in the corporate bond market: evidence from mega-bonds," Journal of Financial Intermediation, Elsevier, vol. 48(C).
    365. Calice, Giovanni & Chen, Jing & Williams, Julian, 2013. "Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 122-143.
    366. Peña, Juan Ignacio & Forte, Santiago, 2006. "Credit spreads: theory and evidence about the information content of stocks, bonds and cdss," DEE - Working Papers. Business Economics. WB wb063310, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    367. Naumer, Hans-Jörg & Yurtoglu, Burcin, 2022. "It is not only what you say, but how you say it: ESG, corporate news, and the impact on CDS spreads," Global Finance Journal, Elsevier, vol. 52(C).
    368. Barsotti, Flavia & Viva, Luca Del, 2015. "Performance and determinants of the Merton structural model: Evidence from hedging coefficients," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 95-111.
    369. Christian Klein & Christoph Stellner, 2014. "Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero‐volatility spreads," Review of Financial Economics, John Wiley & Sons, vol. 23(2), pages 64-74, April.
    370. Donders, Pablo & Jara, Mauricio & Wagner, Rodrigo, 2018. "How sensitive is corporate debt to swings in commodity prices?," Journal of Financial Stability, Elsevier, vol. 39(C), pages 237-258.
    371. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
    372. Amihud, Yakov & Noh, Joonki, 2021. "The pricing of the illiquidity factor’s conditional risk with time-varying premium," Journal of Financial Markets, Elsevier, vol. 56(C).
    373. Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).
    374. Alizadeh, Amir H. & Kappou, Konstantina & Tsouknidis, Dimitris & Visvikis, Ilias, 2015. "Liquidity effects and FFA returns in the international shipping derivatives market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 76(C), pages 58-75.
    375. López-Herrera, Francisco & Santillán-Salgado, Roberto J. & Cabello, Alejandra, 2019. "Latin American Corporate Emerging Markets Bond Indices (CEMBIs): Their recent evolution," Global Finance Journal, Elsevier, vol. 41(C), pages 104-112.
    376. Bala Rajaratnam & Kanshukan Rajaratnam & Myuran Rajaratnam, 2017. "A Theoretical Model for the Term Structure of Corporate Credit based on Competitive Advantage," European Financial Management, European Financial Management Association, vol. 23(2), pages 183-210, March.
    377. Gu, Yiwen (Jenny) & Filatotchev, Igor & Greg Bell, R. & Rasheed, Abdul A., 2019. "Liability of foreignness in capital markets: Institutional distance and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 57(C), pages 142-160.
    378. Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
    379. Richter, Thomas Julian, 2022. "Liquidity commonality in sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 501-518.
    380. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
    381. Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan, 2014. "Liquidity effects in corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 105-116.
    382. Jung Hsien Chang & Mao Wei Hung, 2010. "Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(3), pages 359-374.
    383. Mark J. Flannery & Claire Yurong Hong & Baolian Wang, 2023. "The Effect of Government Reference Bonds on Corporate Borrowing Costs: Evidence from a Natural Experiment," Management Science, INFORMS, vol. 69(7), pages 4051-4077, July.
    384. Choy, Siu Kai & Wei, Jason, 2020. "Liquidity risk and expected option returns," Journal of Banking & Finance, Elsevier, vol. 111(C).
    385. Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
    386. Kaviani, Mahsa S. & Kryzanowski, Lawrence & Maleki, Hosein & Savor, Pavel, 2020. "Policy uncertainty and corporate credit spreads," Journal of Financial Economics, Elsevier, vol. 138(3), pages 838-865.

  9. Chen, Long & Zhao, Xinlei, 2007. "Mechanical mean reversion of leverage ratios," Economics Letters, Elsevier, vol. 95(2), pages 223-229, May.

    Cited by:

    1. Danis, András & Rettl, Daniel A. & Whited, Toni M., 2014. "Refinancing, profitability, and capital structure," Journal of Financial Economics, Elsevier, vol. 114(3), pages 424-443.
    2. Chang, Ya-Kai & Chen, Yu-Lun & Chou, Robin K. & Huang, Tai-Hsin, 2015. "Corporate governance, product market competition and dynamic capital structure," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 44-55.
    3. Surenderrao Komera & P. J. Jijo Lukose, 2016. "Heterogeneity and Asymmetry in Speed of Leverage Adjustment: The Indian Experience," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-26, September.
    4. Yushu Zhu, 2013. "Determinants of long-term debt issuing decisions: An alternative approach," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 429-439, August.
    5. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2014. "Asymmetric adjustment toward optimal capital structure: Evidence from a crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 226-242.
    6. Giorgio Canarella & Stephen M. Miller, 2019. "Determinants of Optimal Capital Structure and Speed of Adjustment: Evidence from the U.S. ICT Sector," Working papers 2019-06, University of Connecticut, Department of Economics.
    7. Ferris, Stephen P. & Hanousek, Jan & Shamshur, Anastasiya & Tresl, Jiri, 2018. "Asymmetries in the Firm's use of debt to changing market values," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 542-555.
    8. Fangjian Fu & Clifford W. Smith, 2021. "Strategic Financial Management: Lessons from Seasoned Equity Offerings," Journal of Applied Corporate Finance, Morgan Stanley, vol. 33(1), pages 22-35, March.
    9. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2012. "Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 465-482.
    10. M. E. Bontempi & L. Bottazzi & R. Golinelli, 2015. "Dynamic corporate capital structure behavior: empirical assessment in the light of heterogeneity and non stationarity," Working Papers wp988, Dipartimento Scienze Economiche, Universita' di Bologna.
    11. Haitham A. Al-Zoubi & Jennifer A. O’Sullivan & Abdulaziz M. Alwathnani, 2018. "Business cycles, financial cycles and capital structure," Annals of Finance, Springer, vol. 14(1), pages 105-123, February.
    12. Hu, Yiming & Xu, Mingxia, 2021. "Xi's anti-corruption campaign and the speed of capital structure adjustment," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    13. Barclay, Michael J. & Fu, Fangjian & Smith, Clifford W., 2021. "Seasoned equity offerings and corporate financial management," Journal of Corporate Finance, Elsevier, vol. 66(C).
    14. Parise, Gianpaolo, 2018. "Threat of entry and debt maturity: Evidence from airlines," Journal of Financial Economics, Elsevier, vol. 127(2), pages 226-247.
    15. Cho, Seong-Soon & El Ghoul, Sadok & Guedhami, Omrane & Suh, Jungwon, 2014. "Creditor rights and capital structure: Evidence from international data," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 40-60.
    16. Chauhan, Gaurav Singh & Huseynov, Fariz, 2018. "Corporate financing and target behavior: New tests and evidence," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 840-856.
    17. Lamoureux, Christopher G. & Nejadmalayeri, Ali, 2015. "Costs of capital and public issuance choice," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 27-45.
    18. Behn, Markus & Daminato, Claudio & Salleo, Carmelo, 2019. "A dynamic model of bank behaviour under multiple regulatory constraints," Working Paper Series 2233, European Central Bank.
    19. Bontempi, Maria Elena & Bottazzi, Laura & Golinelli, Roberto, 2020. "A multilevel index of heterogeneous short-term and long-term debt dynamics," Journal of Corporate Finance, Elsevier, vol. 64(C).
    20. Abdul Rashid, 2017. "Security issuance decisions, idiosyncratic risk, and macroeconomic dynamics," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 659-678, October.
    21. Hohenstatt, Ralf & Steininger, Bertram, 2011. "The rat race of capital structure research for REITs and REOCs: Two spotlights on leverage," ZEW Discussion Papers 11-077, ZEW - Leibniz Centre for European Economic Research.
    22. Hafezali Iqbal Hussain & Janusz Grabara & Mohd Shahril Ahmad Razimi & Saeed Pahlevan Sharif, 2019. "Sustainability of Leverage Levels in Response to Shocks in Equity Prices: Islamic Finance as a Socially Responsible Investment," Sustainability, MDPI, vol. 11(12), pages 1-16, June.
    23. Maroney, Neal & Wang, Wei & Kabir Hassan, M., 2019. "Incorporating active adjustment into a financing based model of capital structure," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 204-221.

  10. Chen, Long & Zhao, Xinlei, 2006. "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Finance Research Letters, Elsevier, vol. 3(4), pages 253-266, December.

    Cited by:

    1. Bliss, Mark A. & Gul, Ferdinand A., 2012. "Political connection and leverage: Some Malaysian evidence," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2344-2350.
    2. Lu Qiu & Die Hu & Yu Wang, 2020. "How do firms achieve sustainability through green innovation under external pressures of environmental regulation and market turbulence?," Business Strategy and the Environment, Wiley Blackwell, vol. 29(6), pages 2695-2714, September.
    3. Anh‐Tuan Doan & Bich‐Thanh Truong & Chi‐Cuong Nguyen & Phan‐Tam‐Nhu Nguyen & Hai‐Yen Truong & Anh‐Tuan Le, 2023. "Corruption and corporate leverage in an emerging economy: The role of economic freedom," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 94(2), pages 599-629, June.
    4. Matteo Arena, 2011. "The corporate choice between public debt, bank loans, traditional private debt placements, and 144A debt issues," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 391-416, April.
    5. Paolo Saona & Pablo San Martín, 2018. "Determinants of firm value in Latin America: an analysis of firm attributes and institutional factors," Review of Managerial Science, Springer, vol. 12(1), pages 65-112, January.
    6. Xue Yang & Yuandi Wang & Die Hu & Yongqiang Gao, 2018. "How industry peers improve your sustainable development? The role of listed firms in environmental strategies," Business Strategy and the Environment, Wiley Blackwell, vol. 27(8), pages 1313-1333, December.
    7. Rana Yassir Hussain Xuezhou Wen Rehan Sohail Butt Haroon Hussain Sikandar Ali Qalati Irfan Abbas, 2020. "Are Growth Led Financing Decisions Causing Insolvency in Listed Firms of Pakistan?," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 23(2), pages 89-115, November.
    8. Shadi Farshadfar & Reza M. Monem, 2019. "Further evidence of the relationship between accruals and future cash flows," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(1), pages 143-176, March.
    9. Catarina Fernandes & Jorge Farinha & Francisco Vitorino Martins & Cesario Mateus, 2021. "The impact of board characteristics and CEO power on banks’ risk-taking: stable versus crisis periods," Journal of Banking Regulation, Palgrave Macmillan, vol. 22(4), pages 319-341, December.
    10. Joonho Moon & Won Seok Lee & Jimin Shim, 2022. "Chief Executive Officers and the Value of US Airlines: The Moderating Effect of Carrier Type," Sustainability, MDPI, vol. 14(13), pages 1-12, June.
    11. Barros, Victor & Verga Matos, Pedro & Miranda Sarmento, Joaquim & Rino Vieira, Pedro, 2023. "High-tech firms: Dividend policy in a context of sustainability and technological change," Technological Forecasting and Social Change, Elsevier, vol. 190(C).
    12. Gabriela Brendea, 2014. "Financing Behavior of Romanian Listed Firms in Adjusting to the Target Capital Structure," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 312-329, September.
    13. Peter Krištofík & Juraj Medzihorský & Hussam Musa, 2022. "Capital Structure and Its Determinants—A Comparison of European Top-Rated CSR and Other Companies," JRFM, MDPI, vol. 15(8), pages 1-16, July.
    14. Y. Braouezec, 2009. "Financing Constraint, Over-investment and Market-to-Book Ratio," Post-Print hal-00677797, HAL.
    15. Halil Emre Akbaş & Seda Canikli, 2018. "Determinants of Voluntary Greenhouse Gas Emission Disclosure: An Empirical Investigation on Turkish Firms," Sustainability, MDPI, vol. 11(1), pages 1-24, December.
    16. Murat Kizildag & Ozgur Ozdemir, 2017. "Underlying factors of ups and downs in financial leverage overtime," Tourism Economics, , vol. 23(6), pages 1321-1342, September.
    17. Li, Leon & Kuo, Chii-Shyan, 2017. "CEO equity compensation and earnings management: The role of growth opportunities," Finance Research Letters, Elsevier, vol. 20(C), pages 289-295.
    18. Lin, Ya-Hui & Chen, Chung-Jen & Lin, Bou-Wen, 2018. "The dual-edged role of returnee board members in new venture performance," Journal of Business Research, Elsevier, vol. 90(C), pages 347-358.
    19. Chemmanur, Thomas J. & Cheng, Yingmei & Zhang, Tianming, 2013. "Human capital, capital structure, and employee pay: An empirical analysis," Journal of Financial Economics, Elsevier, vol. 110(2), pages 478-502.
    20. Dogus EMIN, 2016. "Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 96-112, April.
    21. Mai, Nhat Chi, 2012. "Market timing, taxes and capital structure: evidence from Vietnam," OSF Preprints t3mvs, Center for Open Science.
    22. Chamroeun Sok, 2012. "Corporate Credit Rating Announcements: Information Content of Rating Announcements Models: Evidence from the Australian Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2012.
    23. Reisel, Natalia, 2014. "On the value of restrictive covenants: Empirical investigation of public bond issues," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 251-268.
    24. Huang, Ying Sophie & Wang, Chia-Jane, 2015. "Corporate governance and risk-taking of Chinese firms: The role of board size," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 96-113.
    25. Fadoua Kouki, 2021. "The Impact of Market Timing on European Firms¡¯ Capital Structure: RLBOs vs. IPOs," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 219-232, April.
    26. Die Hu & Yuandi Wang & Yu Li, 2017. "How Does Open Innovation Modify the Relationship between Environmental Regulations and Productivity?," Business Strategy and the Environment, Wiley Blackwell, vol. 26(8), pages 1132-1143, December.
    27. Chakravarty, Sugato & Hegde, Prasad, 2019. "The joint entrance exam, overconfident directors and firm performance," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 298-318.
    28. Jimin Shim & Joonho Moon & Won Seok Lee & Namho Chung, 2021. "The Impact of CSR on Corporate Value of Restaurant Businesses Using Triple Bottom Line Theory," Sustainability, MDPI, vol. 13(4), pages 1-14, February.
    29. Biao Chen & Jinqiang Yang & Chuanqian Zhang, 2021. "Corporate investment and financing with uncertain growth opportunities," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 821-842, September.
    30. Liu, Laura Xiaolei, 2009. "Historical market-to-book in a partial adjustment model of leverage," Journal of Corporate Finance, Elsevier, vol. 15(5), pages 602-612, December.
    31. Tserlukevich, Yuri, 2008. "Can real options explain financing behavior?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 232-252, August.
    32. Yacine Belghitar & Ephraim Clark & Abubakr Saeed, 2019. "Political connections and corporate financial decision making," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1099-1133, November.
    33. Luca Di Simone & Barbara Petracci & Mariacristina Piva, 2022. "Economic Sustainability, Innovation, and the ESG Factors: An Empirical Investigation," Sustainability, MDPI, vol. 14(4), pages 1-16, February.
    34. ELKEMALI, Taoufik & BEN REJEB, Aymen & MATOUSSI, Hamadi, 2013. "R&D Intensity and Financing Decisions: Evidence from European Firms," MPRA Paper 52059, University Library of Munich, Germany, revised 15 Oct 2013.
    35. Doumpos, Michael & Niklis, Dimitrios & Zopounidis, Constantin & Andriosopoulos, Kostas, 2015. "Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 599-607.
    36. Dhananjaya K & Krishna Raj, 2018. "Market value and capital structure: A study of Indian manufacturing firms," Working Papers 421, Institute for Social and Economic Change, Bangalore.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.