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Default Risk Premia and Asset Returns

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References

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2001The Determinants of Credit Spread Changes2,253 cited
2008In Search of Distress Risk2,232 cited
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
2004Default Risk in Equity Returns1,997 cited
1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited

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2001Explaining the Rate Spread on Corporate Bonds1,580 cited

Cited by

2011Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market33 cited
2011Contagion and Excess Correlation in Credit Default Swaps25 cited
2010Dissecting Corporate Bond and CDS Spreads20 cited