Category Archives: Digests

Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium

Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium
Stefania D’Amico, N Aaron Pancost
Review of Finance, Volume 26, Issue 1, February 2022, Pages 117 – 162, https://doi.org/10.1093/rof/rfab028

Although the market for nominal US Treasury bonds is very large and liquid, previous research has identified a number of cases in which assets with almost identical payoffs carry significantly different prices, including the on-the-run premium, the TIPS-Treasury bond puzzle, and the note-bond spread.… Read more...

Do Country-Level Creditor Protections Affect Firm-Level Debt Structure Concentration?

Do Country-Level Creditor Protections Affect Firm-Level Debt Structure Concentration?
Kose John, Mahsa S Kaviani, Lawrence Kryzanowski, Hosein Maleki
Review of Finance, Volume 25, Issue 6, November 2021, Pages 1677–1725, https://doi.org/10.1093/rof/rfab011

One major consideration for firms’ financing and investment decisions is the probability of an inefficient liquidation.… Read more...