Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

Articles
  1. Poor
  2. Satisfactory
  3. Good
  4. Very Good
  5. Excellent

Be the first. (0 ratings)

CFA Digest
February 2006 | Vol. 36 | No. 1 | 2 pages
Source: CFA Institute
Francis A. Longstaff, CFA Sanjay Mithal Eric Neis
Christopher J. Sullivan, CFA (Reviewer)

Read

Summary

The authors use bond prices and credit default swap premiums to determine the composition of corporate yield spreads. Although default risk accounts for most of the spread, there is also a significant time-varying nondefault component directly related to liquidity effects. The results extend earlier research that considers the market price of credit risk to be higher than implied by select structural models.

View more information

Topics
Credits · About the CE Program
0 CE (including 0 SER) Manage CE Credits

People who viewed this page also viewed:

Article
Asset Allocation: Risk Models for Alternative Investments
CFA Institute: Financial Analysts Journal
Article
Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis
CFA Institute: Financial Analysts Journal
Article
Exploiting Option Information in the Equity Market
CFA Institute: Financial Analysts Journal

Loading ...