Liquidity or Credit Risk ? The Determinants of Very Short - Term Corporate Yield Spreads  

Oleh:

Covitz, Dan ; Downing, Chris

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2303-2328.
Topik: liquidity; liquidity; credit risk; corporate; spreads
Fulltext: p 2303.pdf (178.65KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Employing a comprehensive database on transactions of commercial paper issued by domestic U. S. non financial corporations, we study the determinants of very short - term corporate yield spreads. We find that liquidity plays a role in the determination of spreads but, somewhat surprisingly, credit quality is the more important determinant of spreads, even at horizons of less than 1 month. These results are robust across a variety of procies for liquidity and credit risk, and have important implications for the literature on the modeling of corporate bond prices.

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