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On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads
16 references·5 citing·30 second hopsampled
On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads (2005)On the importance of systematic risk fact…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsThe Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Strategic Debt Service (1997)Strategic Debt ServiceEmpirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Design and Valuation of Debt Contracts (1996)Design and Valuation of Debt …Option Pricing and the Martingale Restriction (1995)Option Pricing and the Martin…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Options Arbitrage in Imperfect Markets (1989)Options Arbitrage in Imperfec…Bond Price Data and Bond Market Liquidity (1989)Bond Price Data and Bond Mark…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Conditional Mandates on Management Earnings Forecasts: The Impact on the Cost of Debt (2023)Conditional Mandates on Manag…Acquisitions and the cost of debt: Evidence from China (2021)Acquisitions and the cost of …Internal control reporting and cost of bond financing: Evidence from China (2019)Internal control reporting an…Using the credit spread as an option-risk factor: Size and value effects in CAPM (2010)Using the credit spread as an…Risk management with options and futures under liquidity risk (2009)Risk management with options …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)An equilibrium characterization of the term structure (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Generalized autoregressive conditional heteroskedasticity (1986)The Determinants of Credit Default Swap Premia (2009)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)The Cross-Section of Expected Stock Returns (1992)Forecasting Default with the Merton Distance to Default Model (2008)… and the Cross-Section of Expected Returns (2015)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 1996Design and Valuation of Debt Contracts591 cited
  • 1997Strategic Debt Service523 cited
  • 1989Bond Price Data and Bond Market Liquidity267 cited
  • 1995Option Pricing and the Martingale Restriction242 cited
  • 1989

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Options Arbitrage in Imperfect Markets
214 cited

Cited by

  • 2019Internal control reporting and cost of bond financing: Evidence from China40 cited
  • 2009Risk management with options and futures under liquidity risk27 cited
  • 2021Acquisitions and the cost of debt: Evidence from China25 cited
  • 2010Using the credit spread as an option-risk factor: Size and value effects in CAPM22 cited
  • 2023Conditional Mandates on Management Earnings Forecasts: The Impact on the Cost of Debt17 cited