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Is the Credit Spread Puzzle a Myth? · Study

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ArticleIs the Credit Spread Puzzle a Myth?

Jennie Bai2018

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Is the Credit Spread Puzzle a Myth?

Jennie Bai · Robert S. Goldstein · Fan Yang

60 citations·0/0 files stored·Journal of Financial Economics

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Credit Risk and Financial Regulations Corporate Insolvency and Governance Stochastic processes and financial applications

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1976Option pricing when underlying stock returns are discontinuous 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2006Rare Disasters and Asset Markets in the Twentieth Century*2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads 2009Expected Stock Returns and Variance Risk Premia

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2025The Decline of Too Big to Fail 2020Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market 2022A unified model of distress risk puzzles

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Year2018

Typearticle

Published2018-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations60

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jfineco.2020.02.009

openalex_workW2906889309

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