The purpose of this article is to explain the spread between rates on corporate and government bonds. We show 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 ...
Moreover, the need for studying the dynamics of the GB market is reinforced by the fact that the growth of such debt securities in international markets has not been slowed down by the COVID-19 pandemic. Since market inception in 2007, GB issuances have grown at an annual compound rate of...
In panel analysis I detect a significant positive effect of systematic factors, such as higher funding constraints and market volatility, on the equity- CDS bid-ask spread commonality. This result confirms the existence of a 'funding chan- nel'. However, I also show that the hedge ratio (...
For a 2% discount rate, you might as well buy guaranteed government bonds. SIRI using 7% discount rate | source: old school value DCF calculator When it comes to actually usable discount rates, expect it to be within a 6-12% range. The problem is that analysts spend too much of their ...
The following sections are included:Corporate Yield SpreadsDataMeasuring SpreadsEmpirical SpreadsFit ErrorEstimating the Default PremiumEstimating The State Tax PremiumsRisk Premiums For Systematic RiskConclusionAppendix A. Determining Yield to Maturity on Zeros (Spot Rates)Appendix B. Measuring the Default ...
The Journal of FinanceElton, Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann. 2001. "Explaining the Rate Spread on Corporate Bonds." Journal of Finance 56(1): 247-277.Gruber, M.J., Angrawal, D. ve Mann, C. 2001. Explaining the rate spread on corporate bonds, ...
Mann, 2001, Explaining the rate spread on corporate bonds, Journal of Finance 56, 247-277.Elton, Edwin J., Martin J. Gruber, Deepak Agrawal & Christopher Mann. (2001). Explaining the rate spreads on corporate bonds. Journal of Finance, 56, 247-277....
This is in contrast to [Elton, E.J., Gruber, M.J., 2001. Explaining the rate spread on corporate bonds. Journal of Finance 56, 247鈥 277] who find that market factors tied to expected returns are predominantly important, but who do not control for these variables (i.e. the relevant...
A Bayesian Framework for Explaining the Rate Spread on Corporate BondsThe implementation of the Basel II accord in 2008 has increased the academic and professional interest to credit risk modeling. Therefore, many techniques are developed by the industry such as the KMV model, the CreditRisk+ ...
"Explaining the Rate Spread on Corporate Bonds," The Journal of Finance 56, 247-277.Elton, E., Gruber, M., Agrawal, D., Mann, C., 2001, "Explaining the rate spread on corporate bonds", The Journal of Finance, Vol. 56, 247-277....