Teixeira, Joao C. A. - EconWPA - 2005
model reveals an extremely good performance. When considering the prediction of credit spreads, the three models under …-estimate market spreads but, again, Fan and Sundaresan has a better performance. We find rating, maturity and asset volatility effects … in the prediction power, as the models under-estimate less the spreads of riskier firms and of bonds with better rating …