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Explaining the Bond-CDS Basis: The role of credit risk and liquidity
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Explaining the Bond-CDS Basis: The role of credit risk and liquidity (2009)Explaining the Bond-CDS Basis: The role o…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market (2011)Derivative Pricing with Liqui…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…Insider trading in credit derivatives☆ (2007)Insider trading in credit der…Corporate Bond Market Transaction Costs and Transparency (2007)Corporate Bond Market Transac…An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)An Empirical Comparison of Cr…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Credit Swap Valuation (1999)Credit Swap ValuationThe Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Market microstructure theory (1995)Market Microstructure Theory. (1996)Market microstructure: A survey (2000)The Illiquidity of Corporate Bonds (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Intermediary asset pricing: New evidence from many asset classes (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)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)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Economics of Structured Finance (2009)Corporate bond liquidity before and after the onset of the subprime crisis (2011)Common risk factors in the returns on stocks and bonds (1993)Corporate Yield Spreads and Bond Liquidity (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Idiosyncratic Risk Matters! (2003)Do Shareholders Benefit from Green Bonds? (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Term Structures of Defaultable Bonds (1999)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 2001Econometric Analysis of Cross Section and Panel Data27,575 cited
  • 2012The Econometrics of Financial Markets5,875 cited
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  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
  • 2007Corporate Bond Market Transaction Costs and Transparency966 cited
  • 2007Insider trading in credit derivatives☆827 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 2009The Determinants of Credit Default Swap Premia663 cited
  • 1999Credit Swap Valuation636 cited
  • 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

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540 cited
  • 2011Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market329 cited
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