Advanced search
Publication Cover
Applied Economics Letters Volume 28, 2021 - Issue 15
Submit an article Journal homepage
217
Views
0
CrossRef citations to date
0
Altmetric
Research Article

The default and liquidity premia of corporate bonds: evidence from the trade reporting and compliance engine

Yongkil Ahna National Taiwan Normal University, Taipei, Taiwan;b Seoul National University of Science and Technology, Seoul, South KoreaCorrespondence[email protected]
View further author information
Pages 1271-1276 | Published online: 18 Aug 2020

References

  • Andrade, G., and S. N. Kaplan. 1998. “How Costly Is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions that Became Distressed.” The Journal of Finance 53 (5): 1443–1493. doi:10.1111/0022-1082.00062.
  • Bao, J., J. Pan, and J. Wang. 2011. “The Illiquidity of Corporate Bonds.” The Journal of Finance 66 (3): 911–946. doi:10.1111/j.1540-6261.2011.01655.x.
  • Bessembinder, H., K. M. Kahle, W. F. Maxwell, and D. Xu. 2009. “Measuring Abnormal Bond Performance.” Review of Financial Studies 22 (10): 4219–4258. doi:10.1093/rfs/hhn105.
  • Chen, H., R. Cui, Z. He, and K. Milbradt. 2016. “Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle.” Tech. Rep., Review of Financial Studies 31 (3): 852–897.
  • Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin. 2001. “The Determinants of Credit Spread Changes.” The Journal of Finance 56 (6): 2177–2207. doi:10.1111/0022-1082.00402.
  • Dick-Nielsen, J., 2014. How to Clean Enhanced Trace Data.
  • Driessen, J. 2005. “Is Default Event Risk Priced in Corporate Bonds?” Review of Financial Studies 18 (1): 165–195. doi:10.1093/rfs/hhi009.
  • Duffie, D. 1999. “Credit Swap Valuation.” Financial Analysts Journal 55 (1): 73–87. doi:10.2469/faj.v55.n1.2243.
  • Duffie, D., and J. Liu. 2001. “Floating–Fixed Credit Spreads.” Financial Analysts Journal 57 (3): 76–87. doi:10.2469/faj.v57.n3.2452.
  • Duffie, D., and K. J. Singleton. 1997. “An Econometric Model of the Term Structure of Interest-rate Swap Yields.” The Journal of Finance 52 (4): 1287–1321. doi:10.1111/j.1540-6261.1997.tb01111.x.
  • Duffie, D., and K. J. Singleton. 1999. “Modeling Term Structures of Defaultable Bonds.” Review of Financial Studies 12 (4): 687–720. doi:10.1093/rfs/12.4.687.
  • Edwards, A. K., L. E. Harris, and M. S. Piwowar. 2007. “Corporate Bond Market Transaction Costs and Transparency.” The Journal of Finance 62 (3): 1421–1451. doi:10.1111/j.1540-6261.2007.01240.x.
  • Ericsson, J., and O. Renault. 2006. “Liquidity and Credit Risk.” The Journal of Finance 61 (5): 2219–2250. doi:10.1111/j.1540-6261.2006.01056.x.
  • Huang, J.-Z., and M. Huang. 2012. “How Much of the Corporate-treasury Yield Spread Is Due to Credit Risk?” Review of Asset Pricing Studies 2 (2): 153–202. doi:10.1093/rapstu/ras011.
  • Kotomin, V., S. D. Smith, and D. B. Winters. 2008. “Preferred Habitat for Liquidity in International Short-term Interest Rates.” Journal of Banking & Finance 32 (2): 240–250. doi:10.1016/j.jbankfin.2007.03.007.
  • Kuehn, L.-A., and L. Schmid. 2014. “Investment-based Corporate Bond Pricing.” The Journal of Finance 69 (6): 2741–2776. doi:10.1111/jofi.12204.
  • Lando, D. 1998. “On Cox Processes and Credit Risky Securities.” Review of Derivatives Research 2 (2–3): 99–120. doi:10.1007/BF01531332.
  • Lin, H., J. Wang, and C. Wu. 2011. “Liquidity Risk and Expected Corporate Bond Returns.” Journal of Financial Economics 99 (3): 628–650. doi:10.1016/j.jfineco.2010.10.004.
  • Longstaff, F. A., S. Mithal, and E. Neis. 2005. “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market.” The Journal of Finance 60 (5): 2213–2253. doi:10.1111/j.1540-6261.2005.00797.x.
  • Modigliani, F., and R. Sutch. 1966. “Innovations in Interest Rate Policy.” The American Economic Review 56: 178–197.
  • Ogden, J. P. 1987. “The End of the Month as A Preferred Habitat: A Test of Operational Efficiency in the Money Market.” The Journal of Financial and Quantitative Analysis 22 (3): 329–343. doi:10.2307/2330967.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.