We revisit Feldhütter and Schaefer (FS, 2018), who report evidence of a “credit spread
puzzle” for high-yield but not investment-grade bonds. We show their results are reversed …

We study the extent of price discovery in the onshore Chinese corporate bond market,
focusing in particular on the information content of credit spreads in China. Using Merton's …

Empirical studies of structural credit risk models so far are often based on calibration, rolling
estimation, or regressions. This paper proposes a GMM-based method that allows us to …

What drives short-term credit spreads: credit risk, liquidity risk, or both? We investigate this
issue using the structural approach to credit risk modeling and a novel data set of secondary …

Most structural models for valuing corporate securities assume a geometric Brownian motion
to describe the value of a firm's assets. However, this does not reflect market stylized …

This paper investigates the impact of debt refinancing risk on expected corporate bond
returns. The immediacy of refinancing maturing debt can elevate rollover risk premia …

We present a general framework for the estimation of corporate default based on a firm's
capital structure, when its assets are assumed to follow a pure jump Lévy processes; this …

We investigate how the dynamics of corporate debt policy affect the pricing of corporate
bonds. We find empirically that debt issuance has a significant stochastic component that is …

In the dollar-denominated corporate bond market, 42% of bonds with an amount outstanding
of USD 5.9 Trillion are issued by non-US firms. Despite the increasing importance of cross …

This paper studies variance risk premiums in the credit market using a novel data set of
swaptions quotes on the CDX North America Investment Grade and High‐Yield indices. The …