Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest February 2006 | Vol. 36 | No. 1 | 2 pages Source: CFA InstituteFrancis A. Longstaff, CFA Sanjay Mithal Eric NeisChristopher J. Sullivan, CFA (Reviewer) Read Abstract 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 Fixed Income : Analysis of Credit Risk | Portfolio Management : Fixed-Income Portfolio Management Strategies Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits People who viewed this page also viewed: China's 12th Five-Year Plan Alexander Van Kemenade discusses China's 12th five-year plan, which includes higher efficiency in the use of energy, water, and carbon ... More Credit Suisse Global Wealth Report The "Credit Suisse Global Wealth Report" is a comprehensive study of world wealth that analyzes the world’s entire 200 trillion ... More Credit Suisse Global Wealth Databook This Databook displays the detailed dataset backing the "Credit Suisse Global Wealth Report," the comprehensive study of world ... More Loading ...