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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …