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We investigate why spreads on corporate bonds are so much larger than expected losses from default. Systematic factors make very little contribution to spreads, even if higher moments or downside effects are taken into account. Instead we find that sizes of spreads are strongly related to...
Persistent link: https://www.econbiz.de/10009485018
Persistent link: https://www.econbiz.de/10009247347
We use a panel of investment-grade bonds to investigate why credit spreads are so much larger than expected losses from default. We find that systematic factors contribute little to spreads, even if higher moments or downside effects are incorporated. Instead, two idiosyncratic risk factors,...
Persistent link: https://www.econbiz.de/10012719235
Persistent link: https://www.econbiz.de/10009030537
We investigate why spreads on corporate bonds are so much larger than expected losses from default. Systematic factors make very little contribution to spreads, even if higher moments or downside effects are taken into account. Instead we find that sizes of spreads are strongly related to...
Persistent link: https://www.econbiz.de/10009142843