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Macroeconomic Conditions and Credit Default Swap Spread Changes
16 references·0 citing·36 second hopsampled
Macroeconomic Conditions and Credit Default Swap Spread Changes (2017)Macroeconomic Conditions and Credit Defau…Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market (2011)Derivative Pricing with Liqui…Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Macroeconomic Conditions and …An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil (2010)An Analysis of the Determinan…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…Market conditions, default risk and credit spreads (2009)Market conditions, default ri…Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Explaining Credit Default Swa…On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle (2008)On the Relation Between the C…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Regime dependent determinants of credit default swap spreads (2007)Regime dependent determinants…Is value riskier than growth? (2005)Is value riskier than growth?Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…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)The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)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)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2009)The information content of option-implied volatility for credit default swap valuation (2010)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)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)CAPM over the long run: 1926–2001 (2006)Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Government spending, political cycles, and the cross section of stock returns (2012)Generalized autoregressive conditional heteroskedasticity (1986)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Bank Capital: Lessons from the Financial Crisis (2010)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Idiosyncratic Risk Matters! (2003)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2005Is value riskier than growth?690 cited
  • 2009The Determinants of Credit Default Swap Premia663 cited
  • 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited
  • 2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure564 cited
  • 2008On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle447 cited
  • 2009Market conditions, default risk and credit spreads341 cited
  • 2011Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market329 cited
  • 2010An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil

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326 cited
  • 2007Regime dependent determinants of credit default swap spreads281 cited
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