|
|
|
|
||||
|
||||
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap MarketFrancis A. LongstaffUniversity of California, Los Angeles (UCLA) - Finance Area; National Bureau of Economic Research (NBER) Sanjay MithalDeutsche Bank Eric NeisUniversity of California, Los Angeles (UCLA) - Anderson School of Management April 2004 NBER Working Paper No. w10418 Abstract: We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond-market liquidity.
Number of Pages in PDF File: 51 working papers seriesDate posted: April 21, 2004Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo5 in 0.453 seconds
