Covenant Prices of U.S. Corporate Bonds
Abstract
Abstract In this paper, we analyze the key drivers of bond covenant prices by employing a novel measurement approach based on secondary market data. We find that covenant prices vary significantly over time and are associated with market-wide credit risk, volatility, and macroeconomic variables. Apart from the time-series dynamics, there is also significant variation across bond and firm characteristics. In particular, covenant prices increase with the riskiness of bonds and are higher for firms that have more growth options, more tangible assets, and are smaller. Furthermore, we document a positive correlation between the prices of covenants and their subsequent inclusion rates.
Fields of Study & Subjects
Credit Risk and Financial Regulations
Banking stability
regulation
efficiency
Corporate Finance and Governance
Publication details
- Journal / source
- The Review of Asset Pricing Studies
- Publisher
- Oxford University Press (OUP)
- Volume
- 16
- Issue
- 3
- Pages
- 465–496
- Publication date
- 5 June 2026
- Language
- EN