Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of Financial and Quantitative Analysis 44 (2009) 01, pp. 109-132
Variables that in theory determine credit spreads have limited explanatory power in existing empirical work on corporate bond data. We investigate the linear relationship between theoretical determinants of default risk and default swap spreads. We find that estimated coefficients for a minimal...
