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Momentum and Reversal Effects in Corporate Bond Prices and Credit Cycles
8 references·2 citing·24 second hop
Momentum and Reversal Effects in Corporate Bond Prices and Credit Cycles (2010)Momentum and Reversal Effects in Corporat…Momentum and Credit Rating (2007)Momentum and Credit RatingCorporate Bond Market Transaction Costs and Transparency (2007)Corporate Bond Market Transac…Stock and bond market interaction: Does momentum spill over? (2004)Stock and bond market interac…Return reversals in the bond market: Evidence and causes (2003)Return reversals in the bond …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…What Do We Know About Corporate Bond Returns? (2021)What Do We Know About Corpora…CDS-bond basis and bond return predictability (2016)CDS-bond basis and bond retur…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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Predictability in bond returns using technical trading rules (2016)Momentum spillover from stocks to corporate bonds (2017)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)Does the Stock Market Overreact? (1985)The Pricing of Options and Corporate Liabilities (1973)Environmental performance and the cost of debt: Evidence from commercial mortgages and REIT bonds (2019)Green Bonds, Corporate Performance, and Corporate Social Responsibility (2019)Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns? (2020)Illiquidity and stock returns: cross-section and time-series effects (2002)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008)Financial Distress and the Cross‐section of Equity Returns (2011)Momentum in Corporate Bond Returns (2013)Industry costs of equity (1997)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2007Corporate Bond Market Transaction Costs and Transparency966 cited
  • 2007Momentum and Credit Rating412 cited
  • 2004Stock and bond market interaction: Does momentum spill over?240 cited
  • 2003Return reversals in the bond market: Evidence and causes52 cited

Cited by

  • 2021What Do We Know About Corporate Bond Returns?30 cited
  • 2016CDS-bond basis and bond return predictability22 cited

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