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Investor sentiment, flight-to-quality, and corporate bond comovement
16 references·2 citing·46 second hop
Investor sentiment, flight-to-quality, and corporate bond comovement (2017)Investor sentiment, flight-to-quality, an…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Sum of All FEARS Investor…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The impact of institutional trading on stock prices (1992)The impact of institutional t…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…U.S. banks’ lending, financial stability, and text-based sentiment analysis (2022)U.S. banks’ lending, financia…Flights-to-quality from EM Bonds to safe-haven US Treasury Securities: A time-frequency Analysis (2022)Flights-to-quality from EM Bo…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Essays in Positive Economics (1954)Does the Stock Market Overreact? (1985)A Simple Model of Herd Behavior (1992)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Prospect Theory and Asset Prices (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Credit Spreads and Business Cycle Fluctuations (2012)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2014The Sum of All FEARS Investor Sentiment and Asset Prices1,384 cited
  • 2003

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Investor sentiment and the near-term stock market
1,336 cited

Cited by

  • 2022U.S. banks’ lending, financial stability, and text-based sentiment analysis36 cited
  • 2022Flights-to-quality from EM Bonds to safe-haven US Treasury Securities: A time-frequency Analysis36 cited