Gruber, Deepak Agrawal, and Christopher Mann (2001), "Ex- plaining the Rate Spread on Corporate Bonds," Journal of Finance, vol. 56, 247-277.Elton, E. J., M. Gruber, D. Agrawal, and C. Mann (2001). Explaining the rate spread on corporate bonds. Journal of Finance 56, 247-277....
Downgrade risk refers to the risk that a bond issuer’s creditworthiness deteriorates, leading investors to believe the risk of default is higher and thus causing the yield spreads on the issuer’s bonds to widen. C is incorrect. As trading frequency decreases, market liquidity risk increases. ...
Why are spreads on corporate bonds much wider than would be implied by expected losses from default? Previous explanations of this puzzle have assumed that investors can diversify away the risk that actual losses in a corporate bond portfolio will exceed expected losses. However, the skewness in ...
题目 The spread between interest rates on low quality corporate bonds and U.S. government bonds ___ during the Great Depression. A. was reversed B. narrowed significantly C. widened significantly D. did not change 相关知识点: 试题来源: 解析 (c)...
GOVERNMENT BONDS • SPREAD JAPAN - 10 Years 1.252% vs CHINA - 10 Years 1.642% -39.0 bp 26.5 bp 1 month Last Update: 16 Jan 2025 0:15 GMT+0 As of the latest update on 16 Jan 2025 0:15 GMT+0, the Japan 10 Years / China 10 Years Government Bond Spread value is -39.0 basis...
Bid/Ask Spread and Volatility in the Corporate Bond MarketThis paper examines the relationship between price volatility and bid-ask spreads on individualbonds trading on the NYSE's Automated Bond System. Retail-sized trades and thin volumemandate a data analytic approach that accommodates irregularly ...
Using Moody's corporate bond yield data, we find that credit spreads are negatively related to interest rates and that durations of risky bonds depend on... FA Longstaff,ES Schwartz - 《J Finance》 被引量: 2119发表: 2012年 On the importance of systematic risk factors in explaining the cross...
In the past decade, a vast number of theoretical models have been developed in an attempt to price corporate bonds and credit risk derivatives more accurately. However, most of these models did not take into account the effects of investors’ taxes.1 If taxes have no effect on bond price, ...
There are different types of yield spread depending on the benchmark:G-spreadG-spread (also called nominal spread) is the difference between yield on Treasury Bonds and yield on corporate bonds of same maturity. Because Treasury Bonds can be assumed to have zero default risk, the difference ...
Meanwhile, a widening yield spread indicates increased concern about the economy. As investors become morerisk-averse, they demand higher yields on corporate bonds to compensate for the perceived higher default risks (the weaker the broader economy is, the more companies are likely to struggle with...