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Bibframe Work

Title
Corporate yield spreads
Type
Text
Monograph
Contribution
Longstaff, Francis A., 1956- (Contributor)
Mithal, Sanjay (Contributor)
Neis, Eric (Contributor)
National Bureau of Economic Research (Contributor)
Subject
Corporate debt (LCSH)
Default (Finance) (LCSH)
Language
English
Classification
LCC: HB1
Could not render: bf:status
Supplementary Content
bibliography
Content
text
Summary
"We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond-market liquidity"--National Bureau of Economic Research web site.
Authorized Access Point
Longstaff, Francis A., 1956- Corporate yield spreads
Admin Metadata
Generation Process: DLC marc2bibframe2 v2.5.0
Status: changed
Encoding Level: minimal
Description Conventions: Anglo-American cataloguing rules
Identified By: bf:Local, 13841914
Change Date: 2005-02-02T10:01:01
Creation Date: 2005-01-13
Non-rendered Predicates: bf:assigner