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Decomposition of country-specific corporate bond spreads

Dötz, Niko - 2014

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...

Persistent link: https://www.econbiz.de/10010458538

Credit spreads with dynamic debt

Das, Sanjiv R.; Kim, Seoyoung - In: Journal of banking & finance 50 (2015), pp. 121-140

Persistent link: https://www.econbiz.de/10010509132

Default hazards and the term structure of credit spreads in a duopoly

Khadem, Varqá; Perraudin, William R. M. - 2001

Persistent link: https://www.econbiz.de/10009581666

Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option

Rathgeber, Andreas W.; Rudolph, David; Stöckl, Stefan - In: Review of derivatives research 18 (2015) 2, pp. 107-143

Persistent link: https://www.econbiz.de/10011477291

Price discovery of credit spreads in tranquil and crisis periods

Avino, Davide; Lazar, Emese; Varotto, Simone - In: International review of financial analysis 30 (2013), pp. 242-253

Persistent link: https://www.econbiz.de/10010461553

Credit risk and asymmetric information : a simplified approach

Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne - In: Journal of economic dynamics & control 39 (2014), pp. 98-112

Persistent link: https://www.econbiz.de/10010388826

Vanishing contagion spreads

Duarte, Diogo; Prieto, Rodolfo; Rindisbacher, Marcel; … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 740-772

Persistent link: https://www.econbiz.de/10012821251

Policy uncertainty and corporate credit spreads

Kaviani, Mahsa S.; Kryzanowski, Lawrence; Maleki, Hosein; … - In: Journal of financial economics 138 (2020) 3, pp. 838-865

Persistent link: https://www.econbiz.de/10012654671

The price of carbon risk : evidence from China’s bond market

Wu, Yuhui; Tian, Yanan - In: China journal of accounting research : CJAR 15 (2022) 2, pp. 1-23

Using a 2009-2019 sample of Chinese bond issuers, we examine the effect of carbon risk on bond financing costs. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because their credit risk is greater and they invest the funds in...

Persistent link: https://www.econbiz.de/10013269687

Liquidity risk of corporate bond returns : conditional approach

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386

Persistent link: https://www.econbiz.de/10010208670