We outline a parsimonious empirical model to assess the relative usefulness of accounting and equity market based information to explain corporate credit spreads. The primary determinant of corporate credit spreads is the physical default probability. We compare existing accounting-based and...

The last decade has seen rapid growth in trading of credit instruments on secondary markets. The ensuing availability of a rich set of credit market data has created a novel environment for testing a variety of financial economic theories. In this discussion, we provide a simple framework for...

Across multiple measures of “liquidity” and a variety of methods to control for correlated characteristics of more (less) liquid bonds, we find only limited evidence of a liquidity premium in the cross section of corporate bonds. Specifically, while illiquid bonds have slightly higher credit...