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The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis
6 references·9 citing·52 second hop
The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis (2000)The Informational Efficiency of the Corpo…Corporate Bond Trading Costs: A Peek Behind the Curtain (2001)Corporate Bond Trading Costs:…Trade Disclosure Regulation in Markets with Negotiated Trades (1999)Trade Disclosure Regulation i…Market Transparency: Who Wins and Who Loses? (1999)Market Transparency: Who Wins…Bondholder Losses in Leveraged Buyouts (1993)Bondholder Losses in Leverage…Bond Price Data and Bond Market Liquidity (1989)Bond Price Data and Bond Mark…The Systematic Risk of Corporate Bonds (1981)The Systematic Risk of Corpor…Realized Volatility, Liquidity, and Corporate Yield Spreads (2014)Realized Volatility, Liquidit…The Extent of Informational Efficiency in the Credit Default Swap Market: Evidence from Post-Earnings Announcement Returns (2011)The Extent of Informational E…Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants: Evidence from the Credit Default Swap Market (2010)Non-Default Component of Sove…The Implications of Hedge Fund Activism on the Target Firm’s Existing Bondholders (2009)The Implications of Hedge Fun…Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (2008)Effects of Liquidity on the N…Was the Sarbanes-Oxley Act Good News for Corporate Bondholders? (2007)Was the Sarbanes-Oxley Act Go…Latent Liquidity and Corporate Bond Yield Spreads (2007)Latent Liquidity and Corporat…Municipal Bond Liquidity (2004)Municipal Bond LiquidityDifferential Properties in the Ratings of Certified vs. Non-Certified Bond Rating Agencies (2004)Differential Properties in th…Risk, Return, and Equilibrium: Empirical Tests (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Continuous Auctions and Insider Trading (1985)The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads (2009)Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (2016)Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Trading and Exchanges: Market Microstructure for Practitioners (2002)Tax-subsidized underpricing: The market for Build America Bonds (2013)An Empirical Evaluation of Accounting Income Numbers (1968)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Theory of Economic Regulation (1971)The Adoption of Internationally Recognized Accounting Standards: Implications for the Credit Markets (2009)Fair Value Accounting for Financial Instruments: Does It Improve the Association Between Bank Leverage and Credit Risk? 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(1997)Preferencing, Internalization, Best Execution, and Dealer Profits (1999)Trading Costs in Three U.S. Bond Markets (2003)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2005)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Some Empirical Estimates of the Risk Structure of Interest Rates (1989)Measuring Treasury Market Liquidity (2001)Latent liquidity: A new measure of liquidity, with an application to corporate bonds (2008)Liquidity and Market Structure (1988)The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)Liquidity in Asset Markets With Search Frictions (2009)Corporate Social Responsibility: Is it Rewarded by the Corporate Bond Market? A Critical Note (2010)Capital Commitment and Illiquidity in Corporate Bonds (2018)On financial contracting (1979)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)An Empirical Study of Bond Market Transactions (2000)Governance Mechanisms and Bond Prices (2007)Momentum in Corporate Bond Returns (2013)A Theory of the Term Structure of Interest Rates (1985)Time-Varying Return and Risk in the Corporate Bond Market (1990)Does the Bond Market Predict Bankruptcy Settlements? (1992)Theory of rational option pricing (2005)Information transparency and pricing in the municipal bond secondary market (2006)The journal of financial economics (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Market Accessibility, Corporate Bond ETFs, and Liquidity (2017)Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market (2020)
this work references cited by second hop

References

  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 2001Corporate Bond Trading Costs: A Peek Behind the Curtain343 cited
  • 1993Bondholder Losses in Leveraged Buyouts298 cited
  • 1989Bond Price Data and Bond Market Liquidity267 cited
  • 1999Trade Disclosure Regulation in Markets with Negotiated Trades172 cited
  • 1981The Systematic Risk of Corporate Bonds77 cited

Cited by

  • 2004Differential Properties in the Ratings of Certified vs. Non-Certified Bond Rating Agencies57 cited
  • 2014Realized Volatility, Liquidity, and Corporate Yield Spreads47 cited
  • 2007Latent Liquidity and Corporate Bond Yield Spreads42 cited
  • 2004Municipal Bond Liquidity40 cited
  • 2008Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data39 cited
  • 2009The Implications of Hedge Fund Activism on the Target Firm’s Existing Bondholders25 cited
  • 2010Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants: Evidence from the Credit Default Swap Market25 cited
  • 2011The Extent of Informational Efficiency in the Credit Default Swap Market: Evidence from Post-Earnings Announcement Returns25 cited
  • 2007

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Was the Sarbanes-Oxley Act Good News for Corporate Bondholders?
20 cited