Jacoby, Gady; Liao, Rose C.; Batten, Jonathan A. - In: Journal of Financial and Quantitative Analysis 44 (2009) 03, pp. 641-656
What drives the compensation demanded by investors in risky bonds? Longstaff and Schwartz (1995) predict that one key factor is the time-varying negative correlation between interest rates and the yield spreads on corporate bonds. However, the effects of callability and taxes also need to be...