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Anchoring Credit Default Swap Spreads to Firm Fundamentals

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References

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1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
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1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
2001The Determinants of Credit Spread Changes2,253 cited
2008Forecasting Default with the Merton Distance to Default Model2,220 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
1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
2008Back to the Beginning: Persistence and the Cross‐Section of Corporate Capital Structure1,846 cited

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2003

Equity Volatility and Corporate Bond Yields

1,194 cited

2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited

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2020Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market38 cited
2019Corporate Social Responsibility and the Term Structure of CDS Spreads36 cited
2021What Do We Know About Corporate Bond Returns?30 cited
2016Understanding transactions prices in the credit default swaps market29 cited
2011What Moves CDS Spreads?29 cited
2022Private Debt Fund Returns, Persistence, and Market Conditions24 cited
2015A Credit Spread Puzzle for Reduced-Form Models24 cited
2024Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps22 cited
2020Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis22 cited
2021The value of bond underwriter relationships22 cited
2018Estimating risk-return relations with analysts price targets20 cited