Abstract

http://ssrn.com/abstract=758041
 
 

References (24)



 
 

Citations (3)



 


 



Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds


Niklas Wagner


Passau University

Warren P. Hogan


University of Technology, Sydney - School of Finance and Economics

Jonathan A. Batten


Monash University - Department of Accounting and Finance


Economic Notes, Vol. 34, No. 1, pp. 35-50, February 2005

Abstract:     
We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994-1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate strong persistence in spread changes. Consistent with theory and previous findings, changes in spreads are significantly negatively related to the term-structure level while, contrary to theory, the proxy for asset value does not yield a significant negative contribution. We even find a significant positive relation for Eurobonds with long maturity. Tentative interpretations are portfolio-rebalancing activities or differing risk factor sensitivities on short vs. long-maturity bonds.

Number of Pages in PDF File: 16

Accepted Paper Series





Date posted: July 9, 2005  

Suggested Citation

Wagner, Niklas and Hogan, Warren P. and Batten, Jonathan A., Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds. Economic Notes, Vol. 34, No. 1, pp. 35-50, February 2005. Available at SSRN: http://ssrn.com/abstract=758041

Contact Information

Niklas F. Wagner (Contact Author)
Passau University ( email )
Innstrasse 27
Passau, 94030
Germany
Warren P. Hogan
University of Technology, Sydney - School of Finance and Economics ( email )
Haymarket
Sydney, NSW 2007
Australia
+61 2 9514 7730 (Phone)
+61 2 9514 7711 (Fax)
HOME PAGE: http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=91
Jonathan A. Batten
Monash University - Department of Accounting and Finance ( email )
Building 11E
Clayton, Victoria 3800
Australia
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