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What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach
16 references·12 citing·40 second hopsampled
What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach (2017)What Drives the Cross‐Section of Credit S…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…In Search of Distress Risk (2008)In Search of Distress RiskA Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Determinants of corporate borrowing (1977)Determinants of corporate bor…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…In Safe Hands: The Financial and Real Impact of Investor Composition over the Credit Cycle (2025)In Safe Hands: The Financial …The financial health of a company and the risk of its default: Back to the future (2024)The financial health of a com…Duration-Based Valuation of Corporate Bonds (2024)Duration-Based Valuation of C…Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns (2024)Book-to-Market, Mispricing, a…Reaching for Yield and the Cross Section of Bond Returns (2023)Reaching for Yield and the Cr…Priced Risk in Corporate Bonds (2023)Priced Risk in Corporate BondsA One-Factor Model of Corporate Bond Premia (2023)A One-Factor Model of Corpora…Risk Price Variation: The Missing Half of Empirical Asset Pricing (2022)Risk Price Variation: The Mis…Heterogeneous intermediary asset pricing (2021)Heterogeneous intermediary as…Monetary Policy and Corporate Bond Returns (2020)Monetary Policy and Corporate…Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns (2020)Book-to-Market, Mispricing, a…The shifts and the shocks (2017)The shifts and the shocksThe Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1977Determinants of corporate borrowing13,160 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008In Search of Distress Risk2,232 cited

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  • 2011Presidential Address: Discount Rates2,222 cited
  • Cited by

    • 2024Duration-Based Valuation of Corporate Bonds67 cited
    • 2021Heterogeneous intermediary asset pricing51 cited
    • 2020Monetary Policy and Corporate Bond Returns47 cited
    • 2025In Safe Hands: The Financial and Real Impact of Investor Composition over the Credit Cycle41 cited
    • 2023A One-Factor Model of Corporate Bond Premia41 cited
    • 2020Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns33 cited
    • 2022Risk Price Variation: The Missing Half of Empirical Asset Pricing31 cited
    • 2023Priced Risk in Corporate Bonds26 cited
    • 2023Reaching for Yield and the Cross Section of Bond Returns25 cited
    • 2017The shifts and the shocks23 cited
    • 2024Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns21 cited
    • 2024The financial health of a company and the risk of its default: Back to the future14 cited