Now showing items 1-10 of 221
The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a ...
The illiquidity component of corporate bond spreads
We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than ...
The Determinants of Bond Market Development: Further Evidence from Emerging and Developed Countries
(Elsevier Science, 2017-06)
The objective of this paper is to empirically investigate the structural, financial, developmental, institutional, and macroeconomic determinants of bond market development for a sample of 22 emerging and developing countries ...
The effects of corporate bond granularity
(Elsevier Science Bv, 2016-02)
We investigate whether and how firms manage their rollover risk by having a dispersed bond maturity structure (granularity). Granularity can be achieved or maintained by frequently issuing sets of bonds with different ...
Identifying potential impacts of bonding instruments on offshore oil projects
(Elsevier Sci LtdOxfordInglaterra, 2001)
Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2004)
Pricing corporate bonds in Brazil: 2000 to 2004
(ELSEVIER SCIENCE INC, 2009)
This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The ...