"Explaining the Rate Spread on Corporate Bonds." Journal of Finance 56: 247-277.Elton, Edwin J., Martin J. Gruber, Deeprak Agrawal and Christopher Mann (2001), "Explain- ing the Rate Spread on Corporate Bonds," Journal of Finance 61 (1), 247-277....
2 The story for momentum profits is therefore consistent with the findings of Liu and Zhang (2011) that winner (loser) firms have a high (low) expected sale-to-capital ratio and expected growth rate of investment-to-capital ratio. It also provides a potential theoretical foundation for the ...
Mann (2001), 'Explaining the Rate Spread on Corporate Bonds', Journal of Finance, 56, 247-277.Elton, Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann, 2001, "Explaining the Rate Spread on Corporate Bonds," Journal of Finance 56, 247-277....
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 ...
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 ...
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+ ...
Gruber, Deepak Agrawal, and Christopher Mann, 2001, Explaining the rate spread on corporate bonds, Journal of Finance 56, 247^278.Elton, E., M. Gruber, D. Agrawal, and C. Mann, 2001. Explaining the Rate Spread on Corporate Bonds, Journal of Finance 56, 247-277....
Mann, 2001, Explaining the Rate Spread on Corporate Bonds , Journal of Finance 56(1):247-278 .E. J. Elton, M. J. Gruber, D. Agrawal, and C. Mann. Explaining the rate spread on corporate bonds. Journal of Finance, 56:247-277, 2001....
Mann, 2001, "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, 56, 247-277.Elton, E. J., M. J. Gruber, D. Agrawal, and C. Mann. 2001. "Explaining the Rate Spread on Corporate Bonds." The Journal of Finance 56 (1): 247-277. doi:10.1111/0022- 1082.00324....