Explaining the Rate Spread on Corporate Bonds
By Edwin J. Elton, Martin Gruber, Deepak Agrawal, Christopher Mann. 2001
1,731 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/219b16a09a6f6be299b668eec593845ccafdbf1e
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In Finance
- Marti G. Subrahmanyam
- Pepa Kraft
- R. Jankowitsch
- Christian Wagner
- Peter Feldhütter
- Lu Zhang
- John Y. Campbell
- Long Chen
Citations in the corpus
- Decomposing Swap Spreads (2008, neutral): “The A and BBB curves along with the AA curve in the period (2)See He (2001), Grinblatt (2001), Collin-Dufresne and Solnik (2001), and Liu, Longstaff, and Mandell (2006). (3)Further information about the Treasury yield curve methodology can be found on the United States Department of Treasury’s web p”
- Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle (2004, neutral): “Recent empirical analyses of bond spreads, such as Elton, Gruber, Agrawal and Mann (2001) and Collin-Dufresne, Goldstein and Martin (2001) have found important roles for tax and liquidity effects as well as for unknown factors.”
- Corporate Yield Spreads and Bond Liquidity (2007, positive): “The choice of yield spread determinants is largely based on Elton et al. (2001) and Campbell and Taksler (2003).”
- The impact of government ownership on bank risk (2013, positive): “Nonetheless, empirical evidence consistently indicates that credit ratings are an important determinant of bond yield spreads for both banks and non-banking issuers (Elton et al., 2001; Gabbi and Sironi, 2005).”
- Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, neutral): “…(2000) on the shape of the credit yield curve; Delianedis and Geske (1998) on bond rating changes; CollinDufresne, Goldstein, andMartin (2001) and Elton et al. (2001) on changes in bond spreads; Duffee (1998), Brown (2001), and Neal, Rolph and Morris (2001) on the relationship between bond…”
- Uncertainty, Financial Frictions, and Investment Dynamics (2014, background): “, Elton et al. [2001] and Huang and Huang [2003]), traditional debt-contracting models imply counterfactually low credit spreads—and hence significant risk premiums—given the observed probabilities of default and actual recovery rates.”
- The Determinants of Credit Spread Changes (2001, positive): “Thus, following Elton et al. (1999), we re-run the regression (1) using only the sub-sample of quotes from bonds belonging to a Lehman index at the time of the quote.”