This thesis contains three empirical studies on the US corporate bond market; each chapter is self-contained and can be read independently. Chapter 1 studies the impact of credit rating changes on corporate bond returns. This study uses a large dataset of corporate bond transactions from the TRACE database for the US corporate bond market, combined with credit rating changes from Fitch, Moody's and Standard and Poor's (S&P), to analyse over 22,000 bonds, coupled with approximately 28,4...