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Liquidity Premia in CDS Markets
(2017-07-14)
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ...
Global Temperature, R&D Expenditure, and Growth
(2017-11-15)
We shed new light on the macroeconomic effects of rising temperatures. In the data, a shock to global temperature dampens expenditures in research and development (R&D). We rationalize this empirical evidence within a ...
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ...
Does Monetary Policy Impact International Market Co-Movements?
(2020-05-11)
We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies ...
The Power of ESG Ratings on Stock Markets
(2021-03-10)
This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...
MSCI TRI
MSCI Total Return Index
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
OeBFA
The Austrian Treasury is the debt management office of the Republic of Austria and acts in the name and for the account of the sovereign. Its responsibilities include issuing Austrian government debt and managing the federal ...
S&P
S&P Global Ratings (previously Standard & Poor’s) is an American credit rating agency (CRA) and a division of S&P Global that publishes financial research and analysis on stocks, bonds, and commodities.
OECD
The Organisation for Economic Co-operation and Development (OECD) is an international organisation that works to build better policies for better lives. Our goal is to shape policies that foster prosperity, equality, ...