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THE SLOPE OF THE TERM STRUCTURE OF CREDIT SPREADS: AN EMPIRICAL INVESTIGATION
16 references·7 citing·35 second hop
THE SLOPE OF THE TERM STRUCTURE OF CREDIT SPREADS: AN EMPIRICAL INVESTIGATION (2007)THE SLOPE OF THE TERM STRUCTURE OF CREDIT…The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)The Flight‐to‐Liquidity Premi…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…On cox processes and credit risky securities (1998)On cox processes and credit r…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Money, Income, Prices and Interest Rates (1992)Money, Income, Prices and Int…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Empirical analysis of credit spread changes of US corporate bonds (2012)Empirical analysis of credit …On Correlation and Default Clustering in Credit Markets (2010)On Correlation and Default Cl…Testing the Elasticity of Corporate Yield Spreads (2009)Testing the Elasticity of Cor…Explaining the Bond-CDS Basis: The role of credit risk and liquidity (2009)Explaining the Bond-CDS Basis…Credit spreads on corporate bonds and the macroeconomy in Japan (2009)Credit spreads on corporate b…Pricing defaultable bonds: a middle-way approach between structural and reduced-form models (2006)Pricing defaultable bonds: a …Factors affecting the dynamics of yield premia on shipping seasoned high yield bonds (2006)Factors affecting the dynamic…Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)The Econometrics of Financial Markets (2012)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Credit Spreads and Business Cycle Fluctuations (2012)Prospect Theory and Asset Prices (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1992Money, Income, Prices and Interest Rates660 cited

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2004
The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices
561 cited

Cited by

  • 2006Pricing defaultable bonds: a middle-way approach between structural and reduced-form models32 cited
  • 2009Testing the Elasticity of Corporate Yield Spreads30 cited
  • 2009Explaining the Bond-CDS Basis: The role of credit risk and liquidity29 cited
  • 2010On Correlation and Default Clustering in Credit Markets27 cited
  • 2006Factors affecting the dynamics of yield premia on shipping seasoned high yield bonds26 cited
  • 2009Credit spreads on corporate bonds and the macroeconomy in Japan21 cited
  • 2012Empirical analysis of credit spread changes of US corporate bonds20 cited