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The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors
16 references·16 citing·25 second hopsampled
The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors (2003)The Components of Corporate Credit Spread…Theory of rational option pricing (2005)Theory of rational option pri…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Commonality in liquidity (2000)Commonality in liquidityModeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…ZETATM analysis A new model to identify bankruptcy risk of corporations (1977)ZETATM analysis A new model t…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Specification Analysis of Structural Credit Risk Models (2019)Specification Analysis of Str…Liquidity effects in corporate bond spreads (2013)Liquidity effects in corporat…Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure* (2011)Dynamic Interactions Between …Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (2008)Effects of Liquidity on the N…A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure (2008)A No-Arbitrage Analysis of Ma…Macro Factors in the Term Structure of Credit Spreads (2007)Macro Factors in the Term Str…Extending the Merton Model: A hybrid approach to assessing credit quality (2007)Extending the Merton Model: A…Competitive Equilibrium with Debt (2007)Competitive Equilibrium with …THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY (2006)THE DETERMINANTS OF CREDIT DE…CREDIT RISK MODELS II: STRUCTURAL MODELS (2006)CREDIT RISK MODELS II: STRUCT…Too Big to Fail after All These Years (2005)Too Big to Fail after All The…Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2005)Explaining the Level of Credi…Explaining Launch Spreads on Structured Bonds (2005)Explaining Launch Spreads on …Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads (2005)Dynamic Interactions between …The Determinants of Credit Spreads (2004)The Determinants of Credit Sp…Market Discipline of U.S. Financial Firms: Recent Evidence and Research Issues (2004)Market Discipline of U.S. Fin…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)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 stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1977ZETATM analysis A new model to identify bankruptcy risk of corporations1,812 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001

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Explaining the Rate Spread on Corporate Bonds
1,580 cited

Cited by

  • 2013Liquidity effects in corporate bond spreads144 cited
  • 2005Too Big to Fail after All These Years109 cited
  • 2019Specification Analysis of Structural Credit Risk Models77 cited
  • 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY76 cited
  • 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure73 cited
  • 2011Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*57 cited
  • 2004Market Discipline of U.S. Financial Firms: Recent Evidence and Research Issues57 cited
  • 2007Macro Factors in the Term Structure of Credit Spreads53 cited
  • 2005Explaining Launch Spreads on Structured Bonds50 cited
  • 2005Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model50 cited
  • 2005Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads47 cited
  • 2004The Determinants of Credit Spreads44 cited
  • 2007Competitive Equilibrium with Debt44 cited
  • 2006CREDIT RISK MODELS II: STRUCTURAL MODELS43 cited
  • 2007Extending the Merton Model: A hybrid approach to assessing credit quality41 cited
  • 2008Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data39 cited