We examine whether climate change news risk is priced in corporate bonds. We estimate
bond covariance with a climate change news index and find that bonds with a higher climate …

Investor concerns about climate and other environmental regulatory risks suggest that these
risks should affect corporate bond risk assessment and pricing. We test this hypothesis and …

We analyze liquidity components of corporate bond spreads during 2005–2009 using a new
robust illiquidity measure. The spread contribution from illiquidity increases dramatically with …

This paper studies reaching for yield—investors' propensity to buy riskier assets to achieve
higher yields—in the corporate bond market. We show that insurance companies reach for …

Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …

Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …

We investigate whether liquidity is an important price factor in the US corporate bond market.
In particular, we focus on whether liquidity effects are more pronounced in periods of …

Using transaction data from the first half of 2020, we examine the reaction of corporate credit
spreads to the Federal Reserve's monetary policy announcements. We find evidence that …

Prior research shows that firms' financial statement comparability improves the accuracy of
market participants' valuation judgments and thus may reduce firms' costs of capital. Distinct …

This paper documents significant momentum in a comprehensive sample of 81,491 US
corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum …