The Determinants of Option-Adjusted Delta Credit Spreads : A Comparative Analysis of the United States, the United Kingdom and the Euro Area
We analyse the determinants of the variation of option-adjusted credit spreads (OASs) on a unique database that enlarges the traditional scope of analysis to more disaggregated indexes (combining industry, grade and maturity levels), new variables (volumes of sales and purchases of institutional investors) and a complete set of markets (besides the United States, the United Kingdom and the euro area). With our extended set of regressors we explain almost half of the variability of OASs and find evidence of a significant impact of institutional investors' purchases and sales on corporate bond risk. We also find that US business cycle indicators significantly affect the variability of OASs in the United Kingdom and the euro area
Year of publication: |
2009
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Authors: | Becchetti, Leonardo |
Other Persons: | Carpentieri, Andrea (contributor) ; Hasan, Iftekhar (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Großbritannien | United Kingdom | USA | United States | Eurozone | Euro area | Unternehmensanleihe | Corporate bond | Kreditrisiko | Credit risk | Vergleich | Comparison | Wirtschaftsindikator | Economic indicator | Institutioneller Investor | Institutional investor |
Saved in:
freely available
Extent: | 1 Online-Ressource (81 p) |
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Series: | Bank of Finland Research Discussion Paper ; No. 34/2009 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 25, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1513269 [DOI] |
Classification: | G12 - Asset Pricing ; G32 - Financing Policy; Capital and Ownership Structure ; E44 - Financial Markets and the Macroeconomy |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013153595