Corporate Yield Spreads : Default Risk or Liquidity ? New Evidence From The Credit Default Swap Market  

Oleh:

Longstaff, Francis A. ; Neis, Eric ; Mithal, Sanjay

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 5 (Oct. 2005), page 2213-2254.
Topik: market; studies; bond markets; liquidity; default; swap arrangements; corporate debt; macro economics; risk assessment
Fulltext: p 2213.pdf (214.72KB)

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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

We use the information in credit default swaps to obtain direct measures of the size of the defaul and non default 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 non default component is time varying and strongly related to measures of bond - specific illiquidity as well as to macroeconomic measures of bond market liquidity.

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