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Citations for "Equity Volatility and Corporate Bond Yields"

by John Y. Campbell & Glen B. Taksler

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  1. 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.
  2. 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.
  3. : 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Elena Andreou & Eric Ghysels, 2007. "Quality Control for Structural Credit Risk Models," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 3-2007, University of Cyprus Department of Economics.
  10. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  11. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany.
  12. 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.
  13. 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.
  14. 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.).
  15. Noureddine Benlagha, 2013. "The Long-run Relationship among Index-linked Bonds and Conventional Bonds," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 15-24, February.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 102-118, January.
  23. 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.
  24. 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.
  25. 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.
  26. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance, EconWPA 0404004, EconWPA.
  27. 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, Money Macro and Finance Research Group 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
  28. 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.
  29. 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.
  30. 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, IIIS iiisdp195, IIIS.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2004. "Individual Stock-Option Prices and Credit Spreads," Yale School of Management Working Papers, Yale School of Management amz2391, Yale School of Management, revised 01 Jan 2005.
  36. 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.
  37. Bank for International Settlements, 2005. "The role of ratings in structured finance: issues and implications," CGFS Papers, Bank for International Settlements, number 23.
  38. 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.
  39. Carsten Bienz & Antoine Faure-Grimaud & Zsuzsanna Fluck, 2011. "Defeasance of Control Rights," FMG Discussion Papers, Financial Markets Group dp679, Financial Markets Group.
  40. 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.
  41. 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.
  42. Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S., 2014. "Exploitation of the internal capital market and the avoidance of outside monitoring," Journal of Corporate Finance, Elsevier, Elsevier, vol. 25(C), pages 234-250.
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. Efraim Benmelech & Nittai K. Bergman, 2010. "Bankruptcy and the Collateral Channel," NBER Working Papers 15708, National Bureau of Economic Research, Inc.
  48. Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche, CIRPEE 0905, CIRPEE.
  49. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
  50. Krishnan, C. N. V. & Ritchken, P. H. & Thomson, J. B., 2006. "On Credit-Spread Slopes and Predicting Bank Risk," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(6), pages 1545-1574, September.
  51. 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.
  52. Anginer, Deniz & Yildizhan, Celim, 2009. "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper 53885, University Library of Munich, Germany, revised 23 Apr 2013.
  53. 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.
  54. 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.
  55. Anna Kovner & Chenyang Wei, 2012. "The private premium in public bonds," Working Papers 12-7, Federal Reserve Bank of Philadelphia.
  56. 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.
  57. Chen, Jing & Chollete, Lorán & Ray, Rina, 2010. "Financial distress and idiosyncratic volatility: An empirical investigation," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(2), pages 249-267, May.
  58. 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.
  59. 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.
  60. 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.
  61. Dion Bongaerts & Martijn Cremers & William Goetzmann, 2008. "Tiebreaker: Certification and Multiple Credit Ratings," Yale School of Management Working Papers, Yale School of Management amz2394, Yale School of Management, revised 01 Sep 2009.
  62. 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.
  63. 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.
  64. Sonja Keller & Ashoka Mody, 2010. "International Pricing of Emerging Market Corporate Debt," IMF Working Papers 10/26, International Monetary Fund.
  65. 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.
  66. Diego Comin & Thomas Philippon, 2005. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers 11388, National Bureau of Economic Research, Inc.
  67. Landschoot, A. van, 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper, Tilburg University, Center for Economic Research 2003-046, Tilburg University, Center for Economic Research.
  68. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers, Bank of Canada 08-29, Bank of Canada.
  69. 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.
  70. Teiletche, Jérôme & Pochon, Florent, 2006. "A conditional approach to hedge fund risks," Economics Papers from University Paris Dauphine 123456789/682, Paris Dauphine University.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. 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.
  78. repec:onb:oenbwp:y::i:152:b:1 is not listed on IDEAS
  79. 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.
  80. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 2991-3006.
  81. Kiyotaka Nakashima & Makoto Saito, 2009. "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd09-068, Institute of Economic Research, Hitotsubashi University.
  82. 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.
  83. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research 15, Institute for Financial Research.
  84. Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc.
  85. 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.
  86. 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.
  87. 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.
  88. 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.
  89. 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.
  90. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 506-521, June.
  91. 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.
  92. 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.
  93. 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.
  94. 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.
  95. 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.
  96. 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.
  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. 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.
  99. 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.
  100. Stuart M. Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Working Papers, Bank of Canada 08-1, Bank of Canada.
  101. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers, Banque de France 134, Banque de France.
  102. 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.
  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. 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.
  105. 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.
  106. 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.
  107. 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.).
  108. 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.
  109. 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.
  110. 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.
  111. 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.
  112. 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.
  113. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
  114. Adams, John C. & Mansi, Sattar A., 2009. "CEO turnover and bondholder wealth," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(3), pages 522-533, March.
  115. 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.
  116. 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.
  117. 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.
  118. Chen, Tsung-Kang & Liao, Hsien-Hsing & Chi, Cheng-Ming, 2014. "The economic consequences of regulatory changes in employee stock options on corporate bond holders: SFAS No.123R and structural credit model perspectives," Journal of Banking & Finance, Elsevier, Elsevier, vol. 42(C), pages 381-394.
  119. 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.
  120. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series, European Central Bank 0397, European Central Bank.
  121. 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.
  122. Gunter Löffler, 2013. "Can Market Discipline Work in the Case of Rating Agencies? Some Lessons from Moody’s Stock Price," Journal of Financial Services Research, Springer, Springer, vol. 43(2), pages 149-174, April.
  123. Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche, CIRPEE 0929, CIRPEE.
  124. Richard S.Grossman, 2014. "Bloody Foreigners! Overseas Equity on the London Stock Exchange, 1869-1928," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics 2014-001, Wesleyan University, Department of Economics.
  125. 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.
  126. Bhanot, Karan & Mansi, Sattar A. & Wald, John K., 2010. "Takeover risk and the correlation between stocks and bonds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(3), pages 381-393, June.
  127. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  128. Chen, Dong, 2012. "Classified boards, the cost of debt, and firm performance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(12), pages 3346-3365.
  129. 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.
  130. 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.
  131. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer, Springer, vol. 18(1), pages 105-127, March.
  132. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, American Finance Association, vol. 65(5), pages 1789-1816, October.
  133. 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.
  134. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics.
  135. 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.
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