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Citations for "Equity Volatility and Corporate Bond Yields"

by John Y. Campbell & Glen B. Taksler

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  1. Loffler, Gunter, 2004. "Ratings versus market-based measures of default risk in portfolio governance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2715-2746, November.
  2. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, Springer, vol. 6(4), pages 511-535, October.
  3. Fu, Richard & Subramanian, Ajay, 2011. "Leverage and debt maturity choices by undiversified owner-managers," Journal of Corporate Finance, Elsevier, Elsevier, vol. 17(4), pages 888-913, September.
  4. 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, Elsevier, vol. 26(C), pages 20-35.
  5. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  6. Richard S.Grossman, 2014. "Bloody Foreigners! Overseas Equity on the London Stock Exchange, 1869-1928," Wesleyan Economics Working Papers 2014-001, Wesleyan University, Department of Economics.
  7. Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012. "Tiebreaker: Certification and Multiple Credit Ratings," Journal of Finance, American Finance Association, American Finance Association, vol. 67(1), pages 113-152, 02.
  8. Efraim Benmelech & Nittai K. Bergman, 2011. "Bankruptcy and the Collateral Channel," Journal of Finance, American Finance Association, American Finance Association, vol. 66(2), pages 337-378, 04.
  9. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, School of Economics and Management, University of Aarhus.
  10. Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 11-04, Luxembourg School of Finance, University of Luxembourg.
  11. Bo Becker & Todd Milbourn, 2008. "Reputation and competition: evidence from the credit rating industry," Harvard Business School Working Papers 09-051, Harvard Business School, revised Sep 2010.
  12. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  13. Qiu, Jiaping & Yu, Fan, 2009. "The market for corporate control and the cost of debt," Journal of Financial Economics, Elsevier, Elsevier, vol. 93(3), pages 505-524, September.
  14. Colla, Paolo & Ippolito, Filippo & Wagner, Hannes F., 2012. "Leverage and pricing of debt in LBOs," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(1), pages 124-137.
  15. Andreou, Elena & Ghysels, Eric, 2008. "Quality control for structural credit risk models," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 364-375, October.
  16. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  17. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2004. "On credit spread slopes and predicting bank risk," Proceedings, Federal Reserve Bank of Chicago 938, Federal Reserve Bank of Chicago.
  18. 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.
  19. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(3), pages 596-620, September.
  20. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  21. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 44(01), pages 109-132, February.
  22. Thiago De Oliveira Souza, 2011. "Forecasting Investment-Grade Credit-Spreads. A Regularized Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2011-037, ULB -- Universite Libre de Bruxelles.
  23. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2012. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," Working papers, National Bank of Serbia 21, National Bank of Serbia.
  24. Jiang, John (Xuefeng) & Harris Stanford, Mary & Xie, Yuan, 2012. "Does it matter who pays for bond ratings? Historical evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(3), pages 607-621.
  25. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany.
  26. Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
  27. Chen, Tsung-Kang & Chen, Yan-Shing & Liao, Hsien-Hsing, 2011. "Labor unions, bargaining power and corporate bond yield spreads: Structural credit model perspectives," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(8), pages 2084-2098, August.
  28. Stuart M. Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Working Papers, Bank of Canada 08-1, Bank of Canada.
  29. Ingo Fender & Martin Scheicher, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," BIS Working Papers 279, Bank for International Settlements.
  30. Paulo Pereira da Silva, 2014. "Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(1), pages 145-167, March.
  31. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(10), pages 2328-2345, October.
  32. 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.
  33. Hale, Galina & Santos, João A.C., 2009. "Do banks price their informational monopoly?," Journal of Financial Economics, Elsevier, Elsevier, vol. 93(2), pages 185-206, August.
  34. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling, 2013. "Suppliers’ and customers’ information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 3181-3191.
  35. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer, Springer, vol. 29(3), pages 211-235, June.
  36. Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration, University of Munich, Munich School of Management 4831, University of Munich, Munich School of Management.
  37. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics, Boston College Department of Economics 724, Boston College Department of Economics, revised 03 Mar 2010.
  38. Wagner, Niklas, 2004. "Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns," Research in International Business and Finance, Elsevier, Elsevier, vol. 18(1), pages 59-72, April.
  39. Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012. "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(10), pages 2786-2794.
  40. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011. "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 628-650, March.
  41. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(2), pages 217-242.
  42. John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, Springer, vol. 150(3), pages 633-650, March.
  43. Martin Sullivan, 2009. "Credit Ratings and UK Defined Pension Fund Portfolio Values," Working Papers 0909, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  44. Jan Willem van den End, 2006. "Indicator and boundaries of financial stability," DNB Working Papers, Netherlands Central Bank, Research Department 097, Netherlands Central Bank, Research Department.
  45. Anna Kovner & Chenyang Wei, 2012. "The private premium in public bonds," Working Papers 12-7, Federal Reserve Bank of Philadelphia.
  46. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(2), pages 286-327.
  47. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research 15, Institute for Financial Research.
  48. Elyasiani, Elyas & Jia, Jingyi (Jane) & Mao, Connie X., 2010. "Institutional ownership stability and the cost of debt," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(4), pages 475-500, November.
  49. Schaber, Albert, 2008. "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management 7956, University of Munich, Munich School of Management.
  50. Andrea Vedolin, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 43091, London School of Economics and Political Science, LSE Library.
  51. Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion, 2013. "The Determinants Of Cds Spreads," Working Papers, Ben-Gurion University of the Negev, Department of Economics 1318, Ben-Gurion University of the Negev, Department of Economics.
  52. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, Springer, vol. 10(3), pages 303-330, September.
  53. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers, Federal Reserve Bank of St. Louis 2006-007, Federal Reserve Bank of St. Louis.
  54. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers, Bank of Canada 08-29, Bank of Canada.
  55. Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006. "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 251-288, November.
  56. 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, Eastern Finance Association, vol. 46(3), pages 357-383, 08.
  57. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 2969-2990.
  58. Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," Papers 2013-10-14, Working Paper.
  59. Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(2), pages 495-525.
  60. Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 14(4), pages 432-465, October.
  61. Liu, Wenchien & Miu, Peter & Chang, Yuanchen & Ozdemir, Bogie, 2012. "Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(1), pages 123-150.
  62. Demirtas, K. Ozgur & Rodgers Cornaggia, Kimberly, 2013. "Initial credit ratings and earnings management," Review of Financial Economics, Elsevier, Elsevier, vol. 22(4), pages 135-145.
  63. : Haitao Li & Weina Zhang & Gi H. Kim, 2011. "The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns," Working Papers, Warwick Business School, Finance Group wpn11-04, Warwick Business School, Finance Group.
  64. Beladi, Hamid & Quijano, Margot, 2013. "CEO incentives for risk shifting and its effect on corporate bank loan cost," International Review of Financial Analysis, Elsevier, Elsevier, vol. 30(C), pages 182-188.
  65. Nejadmalayeri, Ali & Singh, Manohar, 2012. "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 2900-2916.
  66. 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, Elsevier, vol. 35(1), pages 21-35, January.
  67. Eduardo A. Cavallo & Patricio Valenzuela, 2007. "The Determinants of Corporate Risk in Emerging Markets: An Option-Adjusted Spread Analysis," IDB Publications 6845, Inter-American Development Bank.
  68. Bank for International Settlements, 2005. "The role of ratings in structured finance: issues and implications," CGFS Papers, Bank for International Settlements, number 23.
  69. Byström, Hans N. E., 2005. "Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market," Working Papers, Lund University, Department of Economics 2005:24, Lund University, Department of Economics, revised 15 May 2005.
  70. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(8), pages 2021-2036, August.
  71. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers, Federal Reserve Bank of Dallas 0906, Federal Reserve Bank of Dallas.
  72. Teiletche, Jérôme & Pochon, Florent, 2006. "A conditional approach to hedge fund risks," Economics Papers from University Paris Dauphine 123456789/682, Paris Dauphine University.
  73. Diaz Weigel, Diana & Gemmill, Gordon, 2006. "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(3), pages 476-502, April.
  74. Lu Zhang & Murillo Campello & Long Chen, 2005. "Expected returns, yield spreads, and asset pricing tests," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  75. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4059-4072.
  76. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2706-2715, December.
  77. Diego A. Comin & Thomas Philippon, 2006. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 167-228 National Bureau of Economic Research, Inc.
  78. 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, Elsevier, vol. 29(C), pages 285-308.
  79. Wang, Hao & Zhou, Hao & Zhou, Yi, 2013. "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(10), pages 3733-3746.
  80. Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou, 2005. "Explaining credit default swap spreads with equity volatility and jump risks of individual firms," BIS Working Papers 181, Bank for International Settlements.
  81. Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4014-4024.
  82. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2597-2605, December.
  83. Clothilde Lesplingart & Christophe Majois & Mikael Petitjean, 2012. "Liquidity and CDS premiums on European companies around the Subprime crisis," Review of Derivatives Research, Springer, Springer, vol. 15(3), pages 257-281, October.
  84. John Ammer & Nathanael Clinton, 2004. "Good news is no news? The impact of credit rating changes on the pricing of asset-backed securities," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 809, Board of Governors of the Federal Reserve System (U.S.).
  85. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 506-521, June.
  86. Mutl, Jan & Sögner, Leopold, 2013. "Parameter Estimation and Inference with Spatial Lags and Cointegration," Economics Series, Institute for Advanced Studies 296, Institute for Advanced Studies.
  87. Chen, Jing & Chollete, Lorán, 2006. "Financial Distress and Idiosyncratic Volatility: An Empirical Investigation," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2006/8, Department of Business and Management Science, Norwegian School of Economics.
  88. Thomas Philippon, 2009. "The Bond Market's q," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 124(3), pages 1011-1056, August.
  89. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju, 2013. "Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2434-2456.
  90. Ding, Liang & Pu, Xiaoling, 2012. "Market linkage and information spillover: Evidence from pre-crisis, crisis, and recovery periods," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(2), pages 145-159.
  91. 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.
  92. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., number 7736.
  93. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer, Springer, vol. 18(1), pages 105-127, March.
  94. Benlagha, N., 2013. "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 13(1), pages 55-66.
  95. Zhang, Andrew Jianzhong, 2012. "Distress risk premia in expected stock and bond returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 225-238.
  96. Purda, Lynnette D., 2005. "Mergers in the bond rating industry: does rating provider matter?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 15(2), pages 155-169, April.
  97. Ingo Fender & Bernd Hayo & Matthias Neuenkirch, 2011. "Daily CDS pricing in emerging markets before and during the global financial crisis," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201139, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  98. Guedhami, Omrane & Pittman, Jeffrey, 2008. "The importance of IRS monitoring to debt pricing in private firms," Journal of Financial Economics, Elsevier, Elsevier, vol. 90(1), pages 38-58, October.
  99. Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche, CIRPEE 0929, CIRPEE.
  100. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers, Banque de France 134, Banque de France.
  101. Chen, Long & Zhao, Xinlei, 2006. "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Finance Research Letters, Elsevier, Elsevier, vol. 3(4), pages 253-266, December.
  102. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  103. Becker, Bo & Milbourn, Todd, 2011. "How did increased competition affect credit ratings?," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(3), pages 493-514, September.
  104. Fender, Ingo & Scheicher, Martin, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series, European Central Bank 1056, European Central Bank.
  105. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer, Springer, vol. 29(3), pages 177-210, June.
  106. Avouyi-Dovi, Sanvi & Ano Sujithan, Kuhanathan, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Economics Papers from University Paris Dauphine 123456789/11721, Paris Dauphine University.
  107. Galina Hale & João A. C. Santos, 2006. "Evidence on the costs and benefits of bond IPOs," Working Paper Series, Federal Reserve Bank of San Francisco 2006-42, Federal Reserve Bank of San Francisco.
  108. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  109. Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, European Finance Association, vol. 14(2), pages 235-262.
  110. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance, EconWPA 0404004, EconWPA.
  111. Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(4), pages 743-753, April.
  112. Blakespoor, Elizabeth & Linsmeier, Thomas J. & Petroni, Kathy & Shakespeare, Catherine, 2012. "Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk?," Research Papers, Stanford University, Graduate School of Business 2107, Stanford University, Graduate School of Business.
  113. Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(1), pages 105-116.
  114. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(3), pages 243-253.
  115. Balasubramnian, Bhanu & Cyree, Ken B., 2014. "Has market discipline on banks improved after the Dodd–Frank Act?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 41(C), pages 155-166.
  116. 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, Elsevier, vol. 23(2), pages 64-74.
  117. Martijn Cremers & Hongjun Yan, 2009. "Uncertainty and Valuations," Yale School of Management Working Papers, Yale School of Management amz2383, Yale School of Management, revised 01 May 2009.
  118. Beaver, William H. & Shakespeare, Catherine & Soliman, Mark T., 2006. "Differential properties in the ratings of certified versus non-certified bond-rating agencies," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 42(3), pages 303-334, December.
  119. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, 05.
  120. Schaber, Albert, 2008. "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration, University of Munich, Munich School of Management 4151, University of Munich, Munich School of Management.
  121. Füss, Roland & Gehrig, Thomas & Rindler, Philipp B, 2011. "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8714, C.E.P.R. Discussion Papers.
  122. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(3), pages 321-343, August.
  123. repec:onb:oenbwp:y::i:152:b:1 is not listed on IDEAS
  124. Shalini Mitra, 2012. "Does Financial Development Cause Higher Firm Volatility and Lower Aggregate Volatility?," Working papers, University of Connecticut, Department of Economics 2012-07, University of Connecticut, Department of Economics.
  125. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration, University of Munich, Munich School of Management 4231, University of Munich, Munich School of Management.
  126. Sonja Keller & Ashoka Mody, 2010. "International Pricing of Emerging Market Corporate Debt," IMF Working Papers 10/26, International Monetary Fund.
  127. Kenneth Shaw, 2012. "CEO incentives and the cost of debt," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 38(3), pages 323-346, April.
  128. Kedia, Simi & Zhou, Xing, 2014. "Informed trading around acquisitions: Evidence from corporate bonds," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 182-205.
  129. Patricio Valenzuela, 2013. "Rollover risk and corporate bond spreads," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile 300, Centro de Economía Aplicada, Universidad de Chile.
  130. C. N. V. Krishnan & P. H. Ritchken & J. B. Thomson, 2003. "Monitoring and controlling bank risk: does risky debt serve any purpose?," Working Paper 0301, Federal Reserve Bank of Cleveland.
  131. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 123, Quantitative Finance Research Centre, University of Technology, Sydney.
  132. Carsten Bienz & Antoine Faure-Grimaud & Zsuzsanna Fluck, 2011. "Defeasance of Control Rights," FMG Discussion Papers, Financial Markets Group dp679, Financial Markets Group.
  133. Chen, Tsung-Kang & Liao, Hsien-Hsing & Tsai, Pei-Ling, 2011. "Internal liquidity risk in corporate bond yield spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(4), pages 978-987, April.
  134. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics.
  135. Chen, Dong, 2012. "Classified boards, the cost of debt, and firm performance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(12), pages 3346-3365.
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