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Benmelech, Efraim - 2020

Lenders are unwilling to accept lower credit spreads for secured debt relative to unsecured debt when a firm is healthy. However, they accept significantly lower credit spreads for secured debt when a firm's credit quality deteriorates, the economy slows, or average credit spreads widen. This...

Persistent link: https://www.econbiz.de/10012479323

Option-Based Credit Spreads

Culp, Christopher L. - 2014

economic growth. Using this framework, we find that bond market illiquidity, investors' over-estimation of default risks, and …

Persistent link: https://www.econbiz.de/10012457890

Endogenous Liquidity and Defaultable Bonds

He, Zhiguo - 2012

This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier …

Persistent link: https://www.econbiz.de/10012460252

Credit Spreads and Business Cycle Fluctuations

Gilchrist, Simon - 2011

This paper examines the evidence on the relationship between credit spreads and economic activity. Using an extensive data set of prices of outstanding corporate bonds trading in the secondary market, we construct a credit spread index that is--compared with the standard default-risk...

Persistent link: https://www.econbiz.de/10012461637

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

-market liquidity …

Persistent link: https://www.econbiz.de/10012468275

Expected Returns, Yield Spreads, and Asset Pricing Tests

Campello, Murillo - 2005

We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...

Persistent link: https://www.econbiz.de/10012467360

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Chen, Hui - 2014

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

Persistent link: https://www.econbiz.de/10012458027

When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

Bai, Jennie - 2012

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...

Persistent link: https://www.econbiz.de/10012460062

Equity Volatility and Corporate Bond Yields

Campbell, John Y. - 2002

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic...

Persistent link: https://www.econbiz.de/10012469753

Credit Risk and Disaster Risk

Gourio, Francois - 2011

Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that...

Persistent link: https://www.econbiz.de/10012461632

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