Corporate Bond Credit Spreads and Forecast Dispersion

By Levent Guntay, Dirk Hackbarth. 2010

201 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2713430508652f5be6d98cbc07344474f9de07fc

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Citations in the corpus

Financial regulation policy uncertainty and credit spreads in the US (2014, unknown): “In particular, Chen, Collin-Dufresne and Goldstein (2009) show that the time variation of the AaaGS10 spread is mostly due to factors independent of credit risk, while Hakkio and Keeton (2009) argue that a widening in the Aaa-GS10 spread captures decreased willingness to hold illiquid assets, and us”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, methodology): “for this effect, we follow Güntay and Hackbarth (2006) and use dispersion in earnings forecasts as a measure of incomplete information.”
Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks? (2011, background): “Güntay and Hackbarth (2010) find that yield spreads are higher for firms with higher dispersion of analysts’ forecast, and changes in forecast dispersion predict the changes in yield spread.”
Aggregate Confusion: The Divergence of ESG Ratings (2020, result): “Our study is related to research on credit rating agencies, in particular, those dealing with the question why credit ratings differ (Bongaerts et al., 2012; Güntay and Hackbarth, 2010; Jewell and Livingston, 1998; Cantor and Packer, 1997).”
Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, unknown): “See, for example, Hall and Mishkin (1982), Skinner (1988), Zeldes (1989), Caballero (1990), and Carroll (1992).”
Individual Investor Perceptions and Behavior During the Financial Crisis (2013, unknown): “measures (Doukas et al., 2006; Zhang, 2006; Güntay and Hackbarth, 2010; Banerjee, 2011).”