This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the
period from January 1994 to March 2009. The average return on bonds with high …

Implicit tax rates priced in the cross section of municipal bonds are approximately two to
three times as high as statutory income tax rates, with implicit tax rates close to 100% using …

We examine the effects of liquidity, default and personal taxes on the relative yields of
Treasuries and municipals using a generalized model with liquidity risk. The municipal yield …

We revisit Feldhütter and Schaefer (FS, 2018), who report evidence of a “credit spread
puzzle” for high-yield but not investment-grade bonds. We show their results are reversed …

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps
(CDS) spreads into default, liquidity, systematic liquidity and correlation components. By …

We use a unique sample of corporate bonds guaranteed by the full faith and credit of the US
to test recent theories about why asset prices may diverge from fundamental values. A key …

Abstract Research Question/Issue This paper studies the effect of top management team
(TMT) network centrality on corporate bond yield spreads. In additional analyses, we …

In this article, the authors propose a new method to estimate the components of corporate
bond and CDS spreads. They develop a CDS pricing model with default and nondefault …

Using hand-collected data on changes of government officials in 288 Chinese cities from
2002 to 2018, we examine how political turnover affects corporate credit spread in China …

Using a dynamic selection model, we obtain consistent and unbiased estimates of risk and
returns for infrequently traded bonds and conduct the first comprehensive asset pricing test …