منابع مشابه
Equity volatility and credit yield spreads ∗
We show that a simple structural model of credit risk is able to generate credit yield spreads for the low-rated bonds close to the historical spreads once the recent trends in the stock volatility are taken into account. We study the idiosyncratic and market volatility of stock returns in the cross-section of credit ratings. We find that the increase in the level of the firm-specific volatilit...
متن کاملRealized Volatility, Liquidity, and Corporate Yield Spreads
I propose a bond-specific, time-varying friction measure of round-trip liquidity costs. The measure is robust to outliers in daily bond returns and accounts for the idiosyncratic information behind bond trading decisions. Using transactions from January 2004 to December 2010, I find that liquidity costs display a strong correlation with credit conditions and peaked during the sub-prime crisis. ...
متن کاملSovereign Borrowing, Sanctions and Yield Spreads
We model sovereign debt in the absence of a bankruptcy code. Threat of trade sanctions and seizure of exports by the lenders are the drivers of enforcement of sovereign debt contracts.The borrower takes these potential actions into account when choosing optimal voluntary default and debt capacity. We obtain a closedform solution for the sovereign yield spreads that depend on the costs of sancti...
متن کاملLatent Liquidity and Corporate Bond Yield Spreads
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their riskless benchmarks. One candidate for the unexplained portion of the spread is a premium for the illiquidity in the corporate bond market. We investigate this issue by relating the liquidity of corporate bonds, as measured by their ease of market access, to ...
متن کاملPersonal Taxes, Endogenous Default, and Corporate Bond Yield Spreads
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2016
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504851.2015.1136390