Explaining The Rate Spread on Corporate Bonds  

Oleh:

Elton, Edwin J. ; Gruber, Martin J. ; Agrawal, Deepak ; Mann, Christopher

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 247-277.
Topik: corporate bonds; corporate debt; government bonds; spread; risk premiums; studies; statistical analysis; mathematical models
Fulltext: p 247.pdf (382.38KB)

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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

The purpose of this article is to explain the spread between rates on corporate and government bonds. Spreads in rates between corporate and government bonds differ across rating classes and should be positive for each rating class. It is shown that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that are commonly accepted as explaining risk premiums for common stocks. Both the time series and cross - sectional tests support the existence of a risk premium on corporate bonds.

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