The Implicit Government Guarantee: Evidence from an Unexpected Corporate Bond Default Event

2021 ◽  
Author(s):  
Ying Lei ◽  
Ei Yang ◽  
Yue Yin
Keyword(s):  
Corporate Bond ◽  
Government Guarantee

scholarly journals Editor’s Letter

2018 ◽  
Keyword(s):  
Risk Premium ◽  
Corporate Bond ◽  
Fixed Income ◽  
2008 Financial Crisis ◽  
Stressful Environment ◽  
Rollover Risk ◽  
Government Guarantee ◽  
Bond Portfolio ◽  
The 2008 Financial Crisis ◽  
Relationship Of

Liquidity is considered to be an important risk factor for corporate bond investors, especially in an economically stressful environment. We begin this issue of The Journal of Fixed Income with an article by Scott Richardson and Diogo Palhares that exhibits some counterintuitive evidence for investors anticipating higher future excess returns for a portfolio of less-liquid bonds—no liquidity risk premium, but higher volatility for tilting a bond portfolio. However, during the stressful period associated with the 2008 financial crisis, Jeffrey Black, Seth Hoelscher, and Duane Stock use a government guarantee program to test the causal relationship of rollover risk and the liquidity-credit risk loop resulting in improved liquidity and reduced debt cost.

Comparing Possible Proxies of Corporate Bond Liquidity

CFA Digest ◽  
2005 ◽  
Vol 35 (4) ◽  
pp. 29-30
Author(s):  
Joseph D.V. Vu
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Momentum in Korean Corporate Bond Market

2020 ◽  
Vol 33 (3) ◽  
pp. 301-338
Author(s):  
Minyeon Han ◽  
◽  
Jemoon Woo ◽  
Hyounggoo Kang
Keyword(s):  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market

Corporate bond defaults are consistent with conditional independence

2010 ◽  
Vol 6 (2) ◽  
pp. 3-35 ◽  
Author(s):  
Florian Kramer ◽  
Gunter Löffler
Keyword(s):  
Conditional Independence ◽  
Corporate Bond

Cash Flow Volatility and Corporate Bond Yield Spreads

2008 ◽  
Author(s):  
Kenneth R. Vetzal ◽  
Alan V. S. Douglas ◽  
Alan Guoming Huang
Keyword(s):  
Cash Flow ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield ◽  
Cash Flow Volatility
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