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Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads
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Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads (2011)Dynamic Effects of Idiosyncratic Volatili…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…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…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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)A five-factor asset pricing model (2014)Forecasting Using Principal Components From a Large Number of Predictors (2002)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)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)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 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
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 1993

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Differences of Opinion Make a Horse Race
1,650 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
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