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Georgetown University - Department of Finance
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limit of arbitrage, basis, credit default swaps, counterparty risk, liquidity
price informativeness, economic growth, investment, revelatory price efficiency, forecasting price efficiency
liquidity mismatch; liquidity regulation; market liquidity; funding liquidity; Basel III
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
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Adaptive Macro Index, Forecasting
structural model, firm fundamentals, credit default swap, cross-sectional variation, relative valuation
credit risk model, contagion
Corporate Bond Returns, Volatility, Skewness, Kurtosis, Return Predictability, Risk Factors
sovereign risk; CDS; property rights institutions; contracting institutions; transfer risk
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9252.
CDS, contracting institutions, property rights institutions, sovereign risk, transfer risk
Chengtou bond, real estate, corruption, local government financing vehicle, government guarantee, systemic risk
trading activity, market efficiency, announcements, interest rates
basket-index put spread, bank, leverage effect, financial crisis, bailout, option pricing
corporate bond, risk factors, downside risk, credit risk, liquidity risk
safe asset, securities lending, velocity, European government bonds, collateral
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