Investor Sentiment and Speculative Bond Yield Spreads

[1] Bai, J. and Perron, P., 1998. Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, pp.47-78.10.2307/2998540Search in Google Scholar

[2] Baker, M. and Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance, 61(4), pp.1645-1680.10.1111/j.1540-6261.2006.00885.xSearch in Google Scholar

[3] Baker, M. and Wurgler, J., 2012. Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocks. The Review of Asset Pricing Studies, 2(1), pp.57-87.10.1093/rapstu/ras002Search in Google Scholar

[4] Black, F., 1976. Studies in Stock Price Volatility Changes. Proceedings of the American Statistical Association, Business and Economic Statistics Section, pp.177-181. 1986. Noise, Journal of Finance, 41, pp.529-543.Search in Google Scholar

[5] Black, F. and Scholes, M., 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), pp.637-654.10.1086/260062Search in Google Scholar

[6] Brown, G.W. and Cliff, M.T., 2004. Investor Sentiment and the Near-Term Stock Market. Journal of Empirical Finance, 11(1), pp.1-27.10.1016/j.jempfin.2002.12.001Search in Google Scholar

[7] Campbell, J.Y. and Ammer, J., 1993. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns. The Journal of Finance, 48(1), pp.3-37.10.1111/j.1540-6261.1993.tb04700.xSearch in Google Scholar

[8] Charoenrook, A., 2005. Does Sentiment matter. Unpublished working paper. Vanderbilt University.Search in Google Scholar

[9] Chung, S.L., Hung, C.H. and Yeh, C.Y., 2012. When Does Investor Sentiment Predict Stock Returns? Journal of Empirical Finance, 19(2), pp.217-240.10.1016/j.jempfin.2012.01.002Search in Google Scholar

[10] Collin-Dufresn, P., Goldstein, R.S. and Martin, J.S., 2001. The Determinants of Credit Spread Changes. The Journal of Finance, 56(6), pp.2177-2207.10.1111/0022-1082.00402Search in Google Scholar

[11] Corredor, P., Ferrer, E. and Santamaria, R., 2015. Sentiment-prone Investors and Volatility Dynamics between Spot and Futures Markets. International Review of Economics & Finance, 35, pp.180-196.10.1016/j.iref.2014.09.013Search in Google Scholar

[12] Daniel, K. and Titman, S., 1997. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. The Journal of Finance, 52(1), pp.1-33.10.1111/j.1540-6261.1997.tb03806.xSearch in Google Scholar

[13] Das, S.R. and Tufano, P., 1995. Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads Are Stochastic. Journal of Financial Engineering, 5, pp.161-198.Search in Google Scholar

[14] De Long, J.B., Shleifer, A., Summers, L.H. and Waldmann, R.J., 1990. Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), pp.703-738.10.1086/261703Search in Google Scholar

[15] Delianedis, G. and Geske, R., 2001. The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. DOI:10.2139/ssrn.306479.10.2139/ssrn.306479Search in Google Scholar

[16] Elton, E.J., Gruber, M.J., Agrawal, D. and Mann, C., 2001. Explaining the Rate Spread on corporate Bonds. The Journal of Finance, 56(1), pp.247-277.10.1111/0022-1082.00324Search in Google Scholar

[17] Elton, E.J., Gruber, M.J., Agrawal, D. and Mann, C., 2011. Factors Affecting the Valuation of Corporate Bonds. In: Investments And Portfolio Performance, pp.53-73.10.1142/9789814335409_0004Search in Google Scholar

[18] Fama, E.F. and French, K.R., 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), pp.3-56.10.1016/0304-405X(93)90023-5Search in Google Scholar

[19] Fons, J.S., 1994. Using Default Rates to Model the Term Structure of Credit Risk. Financial Analysts Journal, 50(5), pp.25-32.10.2469/faj.v50.n5.25Search in Google Scholar

[20] Giesecke, K., Longstaff, F.A., Schaefer, S. and Strebulaev, I., 2011. Corporate Bond Default Risk: A 150-year Perspective. Journal of Financial Economics, 102(2), pp.233-250.10.1016/j.jfineco.2011.01.011Search in Google Scholar

[21] Huang, J.Z. and Huang, M., 2012. How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk? The Review of Asset Pricing Studies, 2(2), pp.153-202.10.1093/rapstu/ras011Search in Google Scholar

[22] Kwan, S.H., 1996. Firm-specific Information and the Correlation between Individual Stocks and bonds. Journal of Financial Economics, 40(1), pp.63-80.10.1016/0304-405X(95)00836-4Search in Google Scholar

[23] Laborda, R. and Olmo, J., 2014. Investor Sentiment and Bond Risk Premia. Journal of Financial Markets, 18, pp.206-233.10.1016/j.finmar.2013.05.008Search in Google Scholar

[24] Lee, C.M., Shleifer, A. and Thaler, R.H., 1991. Investor Sentiment and the Closed-end Fund Puzzle. The Journal of Finance, 46(1), pp.75-109.10.1111/j.1540-6261.1991.tb03746.xSearch in Google Scholar

[25] Liu, S., Shi, J., Wang, J. and Wu, C., 2009. The Determinants of Corporate Bond Yields. The Quarterly Review of Economics and Finance, 49(1), pp.85-109.10.1016/j.qref.2007.10.006Search in Google Scholar

[26] Longstaff, F.A., Mithal, S. and Neis, E., 2005. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market. The Journal of Finance, 60(5), pp.2213-2253.10.1111/j.1540-6261.2005.00797.xSearch in Google Scholar

[27] Merton, R.C., 1974. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), pp.449-470.10.1111/j.1540-6261.1974.tb03058.xSearch in Google Scholar

[28] Nayak, S., 2010. Investor Sentiment and Corporate Bond Yield Spreads. Review of Behavioural Finance, 2(2), pp.59-80.10.1108/19405979201000004Search in Google Scholar

[29] Neal, R. and Wheatley, S.M., 1998. Do Measures of Investor Sentiment Predict Returns? Journal of Financial and Quantitative Analysis, 33(4), pp.523-547.10.2307/2331130Search in Google Scholar

[30] Norden, L. and Weber, M., 2009. The co-Movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis. European Financial Management, 15(3), pp.529-562.10.1111/j.1468-036X.2007.00427.xSearch in Google Scholar

[31] Otoo, M.W., 1999. Consumer Sentiment and the Stock Market. Board of Governors of the Federal Reserve System. November 1999. http://www.federalreserve.gov/pubs/feds/1999/199960/199960pap.pdf10.17016/FEDS.1999.60Search in Google Scholar

[32] Shleifer, A., 2000. Inefficient Markets: An Introduction to Behavioural Finance. OUP Oxford.10.1093/0198292279.001.0001Search in Google Scholar

[33] Shiller, R.J., 1981. Do Stock Prices Move Too Much To Be Justified By Subsequent Changes In Dividends? American Economic Review. Vol. 71, pp.421-436.10.3386/w0456Search in Google Scholar

[34] SIFMA. Securities Industry and Financial Markets Association. US Bond Market Issuance and Outstanding, 2014. http://www.sifma.org/research/statistics.aspx (03.17.2015).Search in Google Scholar

[35] Sloane, P.E., 1963. Determinants of Bond Yield Differentials. Yale Economic Essays, 3(1), pp.3-55.Search in Google Scholar

[36] Spyrou, S., 2013. Investor Sentiment and Yield Spread Determinants: Evidence from European Markets. Journal of Economic Studies, 40(6), pp.739-762.10.1108/JES-01-2012-0008Search in Google Scholar

[37] Verma, R., 2012. Behavioral Finance and Pricing of Derivatives: Implications for Dodd-Frank Act. Review of Futures Markets, 20, pp.21-67.Search in Google Scholar

[38] Wang, Y.H., Keswani, A. and Taylor, S.J., 2006. The Relationships between Sentiment, Returns and Volatility. International Journal of Forecasting, 22(1), pp.109-123.10.1016/j.ijforecast.2005.04.019Search in Google Scholar