Band 6
Determinants of Credit Spreads An Empirical Analysis for the European Corporate Bond Market
Aus der Reihe
Corporate Finance and Governance
-
- Englisch ausgewählt
Fr. 64.90
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Gebundene Ausgabe
Erscheinungsdatum
01.09.2011
Verlag
Peter Lang GmbH, Internationaler Verlag der WissenschaftenSeitenzahl
138
Maße (L/B/H)
21.8/15.1/1.5 cm
Gewicht
290 g
Sprache
Englisch
ISBN
978-3-631-60604-9
Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Noch keine Bewertungen vorhanden
Verfassen Sie die erste Bewertung zu diesem Artikel
Helfen Sie anderen Kundinnen und Kunden durch Ihre Meinung.