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Corporate Bond Price Data Sources and Return/Risk Measurement
5 references·9 citing·49 second hop
Corporate Bond Price Data Sources and Return/Risk Measurement (1986)Corporate Bond Price Data Sources and Ret…The Systematic Risk of Corporate Bonds (1981)The Systematic Risk of Corpor…Factors Affecting Seasoned Corporate Bond Prices (1981)Factors Affecting Seasoned Co…The effect of a rating change announcement on bond price (1977)The effect of a rating change…The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models (1977)The Distribution of Common St…ERROR RATES IN CRSP AND COMPUSTAT DATA BASES AND THEIR IMPLICATIONS (1974)ERROR RATES IN CRSP AND COMPU…The Effect of Bond Market Transparency on Bank Loan Contracting (2020)The Effect of Bond Market Tra…The bond event study methodology since 1974 (2016)The bond event study methodol…Empirical analysis of credit spread changes of US corporate bonds (2012)Empirical analysis of credit …Orange County Bankruptcy: Financial Contagion in the Municipal Bond and Bank Equity Markets (2004)Orange County Bankruptcy: Fin…Price formation in the OTC corporate bond markets: a field study of the inter-dealer market (2002)Price formation in the OTC co…Credit spreads and the term structure of interest rates (2002)Credit spreads and the term s…Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible? (2001)Using Subordinated Debt to Mo…Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible? (2001)Using Subordinated Debt to Mo…The Value of Early Exercise in Option Prices: An Empirical Investigation (1991)The Value of Early Exercise i…Bank Runs, Deposit Insurance, and Liquidity (1983)Using daily stock returns (1985)Event Studies in Economics and Finance (1997)Moral Hazard and Bail‐Out in Fiscal Federations: Evidence for the German Länder (2008)Negative Externality of Fiscal Problems: Dissecting the Contagion Effect of Municipal Bankruptcy (2018)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)THE INFORMATIONAL CONTENT OF BOND RATINGS (1987)The Effect of Bond-Rating Changes on Bond Price Performance (1997)Bank monitoring and the pricing of corporate public debt1We thank Atul Gupta, Robyn McLaughlin, Tim Mech, David P. Simon, and especially Bill Schwert (the editor), and Peggy Wier (the referee) for their valuable comments. The third author acknowledges partial financial support from the Babcock Summer Research Program. The usual disclaimer applies.1 (1999)The Adjustment of Stock Prices to New Information (2003)The Behavior of Stock-Market Prices (1965)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The variation of certain speculative prices (1997)The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature (2001)The Availability Heuristic and Investors' Reaction to Company-Specific Events (2010)Intraday volatility interaction between the crude oil and equity markets (2015)Determinants of Risk Premiums on Corporate Bonds (1959)ESTIMATION AND USES OF THE TERM STRUCTURE OF INTEREST RATES (1976)NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL (1978)Time-Varying Return and Risk in the Corporate Bond Market (1990)INSTITUTIONAL BOND PRICING AND INFORMATION ARRIVAL: THE CASE OF BOND RATING CHANGES (1992)A Reconsideration of the Risk Sensitivity of U.S. Banking Organization Subordinated Debt Spreads: A Sample Selection Approach (2004)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Rationality of Early Exercise Decisions: Evidence from the S&P 100 Index Options Market (1993)The Factors Behind Put‐Call Parity Violations of S&P 100 Index Options (1996)Pricing options using implied trees: Evidence from FTSE‐100 options (2002)Theory of rational option pricing (2005)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Does the Bond Market Predict Bankruptcy Settlements? (1992)The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis (2000)Information transparency and pricing in the municipal bond secondary market (2006)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Event Study Testing with Cross-Sectional Correlation Due to Partially Overlapping Event Windows (2018)Forgive Me All My Sins: How Penalties Imposed on Banks Travel Through Markets (2018)Green Bonds: Shades of Green and Brown (2022)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling Term Structures of Defaultable Bonds (1999)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Explaining the Rate Spread on Corporate Bonds (2001)Dynamic Depositor Discipline in U.S. Banks (2003)Market Discipline in Banking Reconsidered: The Roles of Deposit Insurance Reform, Funding Manager Decisions and Bond Market Liquidity (2003)Using Securities Market Information for Bank Supervisory Monitoring (2004)On the Relationship Between Research and Practice (2007)Are All Credit Default Swap Databases Equal? (2013)Time Will Tell: Information in the Timing of Scheduled Earnings News (2017)
this work references cited by second hop

References

  • 1977The effect of a rating change announcement on bond price288 cited
  • 1977The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models152 cited
  • 1974ERROR RATES IN CRSP AND COMPUSTAT DATA BASES AND THEIR IMPLICATIONS96 cited
  • 1981Factors Affecting Seasoned Corporate Bond Prices86 cited
  • 1981The Systematic Risk of Corporate Bonds77 cited

Cited by

  • 1991The Value of Early Exercise in Option Prices: An Empirical Investigation44 cited
  • 2016The bond event study methodology since 197431 cited
  • 2001Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?30 cited
  • 2004Orange County Bankruptcy: Financial Contagion in the Municipal Bond and Bank Equity Markets28 cited
  • 2002Credit spreads and the term structure of interest rates26 cited
  • 2001Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?24 cited
  • 2020The Effect of Bond Market Transparency on Bank Loan Contracting23 cited
  • 2002Price formation in the OTC corporate bond markets: a field study of the inter-dealer market23 cited
  • 2012Empirical analysis of credit spread changes of US corporate bonds20 cited

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