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Bond Market

The Experts below are selected from a list of 22020 Experts worldwide ranked by ideXlab platform

Avanidhar Subrahmanyam – 1st expert on this subject based on the ideXlab platform

  • long term reversals in the corporate Bond Market
    , 2019
    Co-Authors: Turan G Bali, Avanidhar Subrahmanyam

    Abstract:

    Long-term reversals in corporate Bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for Bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term reversal is not a manifestation of the equity counterpart and is mainly driven by long-term losers. A long-term reversal factor carries a sizable premium and is not explained by long-established equity and Bond Market factors. Thus, past returns capture investors’ ex-ante risk assessment and the degree of institutional constraints they face, so that losing Bonds command higher expected returns.

  • an empirical analysis of stock and Bond Market liquidity
    Review of Financial Studies, 2005
    Co-Authors: Tarun Chordia, Asani Sarkar, Avanidhar Subrahmanyam

    Abstract:

    This article explores cross-Market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury Bond Markets). Innovations to stock and Bond Market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these Markets. Volatility shocks are informative in predicting shifts in liquidity. During crisis periods, monetary expansions are associated with increased liquidity. Moreover, money flows to government Bond funds forecast Bond Market liquidity. The results establish a link between “macro” liquidity, or money flows, and “micro” or transactions liquidity. Copyright 2005, Oxford University Press.

  • an empirical analysis of stock and Bond Market liquidity
    Staff Reports, 2003
    Co-Authors: Tarun Chordia, Asani Sarkar, Avanidhar Subrahmanyam

    Abstract:

    This paper explores liquidity movements in stock and Treasury Bond Markets over a period of more than 1800 trading days. Cross-Market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and Bond Markets. We find that a shock to quoted spreads in one Market affects the spreads in both Markets, and that return volatility is an important driver of liquidity. Innovations to stock and Bond Market liquidity and volatility prove to be significantly correlated, suggesting that common factors drive liquidity and volatility in both Markets. Monetary expansion increases equity Market liquidity during periods of financial crises, and unexpected increases (decreases) in the federal funds rate lead to decreases (increases) in liquidity and increases (decreases) in stock and Bond volatility. Finally, we find that flows to the stock and government Bond sectors play an important role in forecasting stock and Bond liquidity. The results establish a link between “macro” liquidity, or money flows, and “micro” or transactions liquidity.

Ludger Schuknecht – 2nd expert on this subject based on the ideXlab platform

  • sovereign risk premiums in the european government Bond Market
    Journal of International Money and Finance, 2012
    Co-Authors: Kerstin Bernoth, Ludger Schuknecht, Juergen Von Hagen

    Abstract:

    This paper provides a study of Bond yield differentials among EU government Bonds issued between 1993 and 2005 on the basis of a unique dataset of issue spreads in the US and DM (Euro) Bond Market. Interest differentials between Bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer’s relative Bond Market size. The start of the European Monetary Union has shifted Market attention to debt service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area.

  • sovereign risk premia in the european Bond Market
    , 2004
    Co-Authors: Kerstin Bernoth, Ludger Schuknecht, Juergen Von Hagen

    Abstract:

    This Paper provides a study of Bond yield differentials among EU euroBonds issued between 1991 and 2002. Interest differentials between Bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on the issuer’s relative Bond Market size. Global investors’ attitude towards credit risk, measured as the yield spread between low grade US corporate Bonds and government Bonds, also affects Bond yield spreads between EU countries and Germany/USA. The start of the European Monetary Union had significant effects on the Bond pricing of the member states.

Juergen Von Hagen – 3rd expert on this subject based on the ideXlab platform

  • sovereign risk premiums in the european government Bond Market
    Journal of International Money and Finance, 2012
    Co-Authors: Kerstin Bernoth, Ludger Schuknecht, Juergen Von Hagen

    Abstract:

    This paper provides a study of Bond yield differentials among EU government Bonds issued between 1993 and 2005 on the basis of a unique dataset of issue spreads in the US and DM (Euro) Bond Market. Interest differentials between Bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer’s relative Bond Market size. The start of the European Monetary Union has shifted Market attention to debt service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area.

  • sovereign risk premia in the european Bond Market
    , 2004
    Co-Authors: Kerstin Bernoth, Ludger Schuknecht, Juergen Von Hagen

    Abstract:

    This Paper provides a study of Bond yield differentials among EU euroBonds issued between 1991 and 2002. Interest differentials between Bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on the issuer’s relative Bond Market size. Global investors’ attitude towards credit risk, measured as the yield spread between low grade US corporate Bonds and government Bonds, also affects Bond yield spreads between EU countries and Germany/USA. The start of the European Monetary Union had significant effects on the Bond pricing of the member states.