This dissertation comprises three empirical essays on the pricing, return dynamics, and risk transmission of Additional Tier 1 (AT1) Contingent Convertible (CoCo) bonds—hybrid capital instruments introduced after the global financial crisis to strengthen bank resilience. The first essay evaluates momentum strategies in the European CoCo market, contrasting conventional momentum with two behavioral variants that refine trend signals to mitigate crash risk. While all deliver meaningful returns, the alternatives exhibit downside resilience. Realistic frictions such as transaction costs and short-selling limits are incorporated, and further analysis employs ARMA–APARCH model and time-series regressions to study return persistence, asymmetries, and the role of issuer fundamentals. The second essay analyzes issuance spreads using a block-structured regression framework, showing contractual features and issuer strength as dominant drivers, with limited macroeconomic influence. The third essay examines secondary market pricing, highlighting fundamentals, fragility, and systemic stress. Together, the essays provide new insights for investors and regulators.