Publication Type:Academic Journal

Source(s):Contemporary Accounting Research. Jun2021, Vol. 38 Issue 2, p1465-1501. 37p.

Abstract:RÉSUMÉ: Le ton des divulgations des risques dans MD&As est‐il pertinent pour les marchés de la dette? Données issues des prix pour les contrats d'échange sur défaillance Dans le présent article, je cherche à déterminer si le ton utilisé dans les divulg...

Publication Type:Academic Journal

Source(s):International Review of Economics & Finance. Jul2022, Vol. 80, p186-210. 25p.

Abstract:This paper studies how the spillovers between investor attention and green bond performance vary across normal and extreme market conditions. Using the quantile connectedness model, we document a substantial increase in the spillovers between green bon...

Publication Type:Academic Journal

Source(s):Quantitative Finance. Jul2022, Vol. 22 Issue 7, p1295-1319. 25p.

Abstract:Electronic platforms have been increasingly popular for executing large corporate bond orders by asset managers, who in turn have to assess the quality of their executions via Transaction Cost Analysis (TCA). One of the challenges in TCA is to build a ...

Publication Type:Report

Source(s):Working Papers (Faculty) -- Stanford Graduate School of Business. 2022, Preceding p1-70. 71p.

Abstract:We empirically characterize how China is internationalizing the Renminbi by selectively opening up its domestic bond market and propose a dynamic reputation model to explain China's internationalization strategy. While previously closed to foreign inve...

Publication Type:Academic Journal

Source(s):Financial Innovation. 7/14/2022, Vol. 8 Issue 1, p1-3. 3p.

Abstract:The paper "Corporate managers, price noise and the investment factor" investigates the impact of flows between the bond and equity funds on investment factors over the period 1984 to 2015. The paper "To jump or not to jump: momentum of jumps in crude o...

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Feb2021, Vol. 34 Issue 2, p985-1045. 61p.

Abstract:Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stoch...

Publication Type:Academic Journal

Source(s):Discrete Dynamics in Nature & Society. 7/1/2021, p1-21. 21p.

Abstract:This study investigates the factors impacting the price difference between the interbank market and the exchange market for the same bond using a large transaction dataset from July 2006 to June 2016 in China. We find that market liquidity and macrofac...

Publication Type:Academic Journal

Source(s):China Finance Review International. 2022, Vol. 12 Issue 2, p241-260. 20p.

Abstract:Purpose: This study presents the state of green bond markets in Africa and green bond funds by some countries in the continent. Design/methodology/approach: The authors adopt a case study approach on four different kinds of countries, namely oil-rich e...

Publication Type:Academic Journal

Source(s):Eurasian Economic Review. Mar2022, Vol. 12 Issue 1, p95-114. 20p.

Abstract:Using the multivariate quantile autoregression technique, we examine how equity returns of Islamic and conventional banks are affected by shocks to major financial indices such as the DJUSI index, the MSCI World Index, the VIX index and the United Stat...

Publication Type:Academic Journal

Source(s):Emerging Markets Finance & Trade. 2022, Vol. 58 Issue 7, p1871-1882. 12p. 3 Charts, 2 Graphs.

Abstract:As a central issue in macro-finance studies, the spanning hypothesis has always been the focus of research. Previous studies have focused on whether this hypothesis holds true in developed markets, while paying little attention to that in emerging mark...