Peter Feldhütter

PUBLISHED AND FORTHCOMING PAPERS

Is Capital Structure Irrelevant with ESG investors? (with Lasse Heje Pedersen), Review of Financial Studies, forthcoming

Internet Appendix

Pricing of Sustainability-Linked Bonds (with Kristoffer Halskov and Arthur Krebbers), 2024, Journal of Financial Economics, 162, 103944

Debt Dynamics and Credit Risk (with Stephen Schaefer), 2023, Journal of Financial Economics, 149, 497-535

Leveraged Buyouts and Bond Credit Spreads (with Yael Eisenthal-Berkovitz and Vikrant Vig), 2020, Journal of Financial Economics, 135, 577-601

The Myth of The Credit Spread Puzzle (with Stephen Schaefer), 2018, Review of Financial Studies, 31, 2897-2942.

Jack Treynor Prize Winner, 2015

Internet Appendix

Risk Premia and Volatilities in a Nonlinear Term Structure Model (with Christian Heyerdahl-Larsen and Philipp Illeditsch), 2018, Review of Finance, 22, 337-380

Outstanding Paper Award, Wharton’s Jacobs Levy Equity Management Center for Quantitative Research, 2014

The Value of Creditor Control in Corporate Bonds (with Edith Hotchkiss and Oğuzhan Karakaş), 2016, Journal of Financial Economics, 121, 1-27.

Can Affine Models Match the Moments in Bond Yields?, 2016, Quarterly Journal of Finance, 2, 1650009

Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (with Jens Dick-Nielsen and David Lando), 2012, Journal of Financial Economics, 103, 471-492.

Our results are used in an Oliver Wyman study on the impact of the Volcker Rule on corporate bond liquidity. The study and our results are discussed in New York Times and Financial  Times.

The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures, 2012, Review of Financial Studies, 25, 1155-1206.

Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets (with Mads Stenbo Nielsen), 2012, Journal of Financial Econometrics, 10, 292-324.

Previously entitled ‘‘An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches”

Decomposing Swap Spreads (with David Lando), 2008, Journal of Financial Economics, 88, 375-405.

Society of Quantitative Analysts award for best paper on quantitative investment, Western Finance Association, 2006

WORKING PAPERS

The Financial Premium, R&R JF (with Jens Dick-Nielsen and David Lando)

Corporate Bond Factors: Replication Failures and a New Framework, R&R RFS (with Jens Dick-Nielsen, Lasse Heje Pedersen and Christian Stolborg)

Winner of the Utah Winter Finance Conference Best Paper Award 2024

Capital Regulation, Market-Making, and Liquidity (with Rainer Haselmann, Thomas Kick, Shikhar Singla and Vikrant Vig)

A New Test for an Old Puzzle (with Lorenzo Bretscher, Andrew Kane, and Lukas Schmid)

Marking to Market Corporate Debt (with Lorenzo Bretscher, Andrew Kane, and Lukas Schmid)

Winner of the Jacob Gold & Associates Best Paper Award, ASU Sonoran Winter Finance Conference 2021

What Determines Bid-Ask Spreads in Over-the-Counter Markets? (with Thomas Kjær Poulsen)

Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty (with Linda S. Larsen, Claus Munk, and Anders B. Trolle)

COMING SOON!

A new test for informational efficiency: Implications for credit markets (with Felix Akilles and David Lando)