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Two presently similarly liquid bonds will be priced differently depending on how liquidity evolved in the past.
Working Paper, 2024.
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A novel corporate bond transaction costs analysis determines which systematic bond strategies remain profitable when fund size increases.
Financial Analysts Journal, 2024.
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Among the two primary liquidity providers in OTC corporate bond trading—dealers and institutional investors—the latter are more exposed to adverse selection.
Journal of Financial Markets, 2024.
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The paths that researchers choose for analysis are a source of an additional sizable error: non-standard error.
Journal of Finance, 2024.
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Issuers do not exercise embedded bond call options timely. Following such missed call opportunities, the bond value increases.
Working paper, 2023.
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[Permanent working paper] Bond trading activity evolves in slow-moving, predictable waves with implications for bond liquidity and returns.
Working Paper, 2018.
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The part of credit risk premium orthogonal to the state of the economy predicts bond market returns better than the risk premium itself.
Working Paper, 2017.
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