Investor attention and municipal bond returns
We analyze whether investors in opaque markets price information from more transparent
markets. Exploiting the natural experiment created by bond-insurer insolvency, we show that …
markets. Exploiting the natural experiment created by bond-insurer insolvency, we show that …
Modeling municipal yields with (and without) bond insurance
We develop an intensity-based model of municipal yields, making simultaneous use of the
credit default swap premiums of the insurers and both insured and uninsured municipal …
credit default swap premiums of the insurers and both insured and uninsured municipal …
Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds
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 …
returns for infrequently traded bonds and conduct the first comprehensive asset pricing test …
The 283 days of stock returns after the 2016 Election
The stock market rose by 25% between the 2016 election and the day TCJA was signed into
law. To determine how much the prospect of tax cuts contributed to this increase, we …
law. To determine how much the prospect of tax cuts contributed to this increase, we …
How a credit enhancement affects bond liquidity and default risk of the firm
JR Black, SA Hoelscher, D Stock - The Journal of Fixed Income, 2018 - jfi.pm-research.com
The authors use a quasi-natural experiment to analyze the impact of a particular type of
credit enhancement, a government guarantee, on bond liquidity and default risk of the firm …
credit enhancement, a government guarantee, on bond liquidity and default risk of the firm …
Counterparty risk modelling of fixed income derivatives
S Wang - 2017 - centaur.reading.ac.uk
The interdependency between the evolution of counterparty credit quality and the underlying
risk factor (s) driving the value of a derivative contract has led to wrong way/right way risk …
risk factor (s) driving the value of a derivative contract has led to wrong way/right way risk …
[BOOK][B] Liquidity, taxes and yield spreads between tax-exempt and taxable bonds
W Yoo - 2016 - search.proquest.com
This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor
and time-varying risk premiums. I estimate the parameters of the model using the Kalman …
and time-varying risk premiums. I estimate the parameters of the model using the Kalman …
[PDF][PDF] Modeling Municipal Yields with (and without) Bond Insurance
We develop an intensity-based model of municipal yields with (and without) bond insurance,
making simultaneous use of the credit default swap (CDS) premiums of the insurers and …
making simultaneous use of the credit default swap (CDS) premiums of the insurers and …