The Determinants of Credit Spread Changes

By Donald B. Keim, Sandeep A. Patel, Robert F. Whitelaw, Matthew P. Richardson, Richard Stanton. 2001

2,296 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/27e1fc5620e26b6ab5bba1b8e840703b8438468c

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Citations in the corpus

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, neutral): “Third, there is a debate on whether corporate bond and equity (option) markets are integrated (Collin-Dufresne, Goldstein, and Martin (2001), Cremers et al. (2005) and Ericsson, Jacobs, and Oviedo (2005)).”
Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models (2006, neutral): “(1998), Collin-Dufresne, Goldstein, and Martin (2001) , and Driessen (2005)).”
The Determinants of CDS Spreads (2014, methodology): “Since the data obtained from COMPUSTAT are quarterly, we use a linear interpolation (as in Collin-Dufresne et al. 2001 and Ericsson et al. 2009) for estimating monthly leverage to fill the gaps.”
Comparing Possible Proxies of Corporate Bond Liquidity (2003, positive): “Crabbe and Turner (1995) subsequently reasoned that large issues may have lower information costs, since more investors own them or have analyzed its features; similarly, information about small issues may be less broadly disseminated among investors. Therefore, small issues will have a higher yield”
The Impact of Earnings on the Pricing of Credit Default Swaps (2007, methodology): “…and Thabe (2006) Rather then trying to directly price credit derivatives using structural models, we follow the more recent regression approach of Collin-Dufresne, Goldstein, and Martin (2001) (CGM).8 They “borrow” from the structural approach to identify the theoretical determinants of credit…”
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “…activity such as trade volume, number of trades, number of dealers, and the bid-ask spread, see, e.g., Elton, Gruber, Agrawal, and Mann (2001), Collin-Dufresne, Goldstein, and Martin (2001), Perraudin and Taylor (2003), Eom, Helwege, and Huang (2004), Liu, Longstaff, and Mandell (2004),…”
Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, background): “…and Vega (2003), Ang and Piazzesi (2003), Campbell and Shiller (1991), Campbell and Ammer (1993), Cochrane (1991), Cochrane and Piazzesi (2006), Collin-Dufresne and Goldstein (2002), Collin-Dufresne, Goldstein, and Martin (2001), Dumas and Solnik (1995), Fama and Bliss (1987), and Ilmanen (1995).”
The Magnitude and Cyclical Behavior of Financial Market Frictions (2004, background): “Relatedly, Collin-Dufresne, Goldstein, and Martin (2001) find that a significant portion of monthly changes in credit spread on straight industrial bonds can be attributed to local supply/demand shocks that are unrelated to the fundamentals.”
Issuer Quality and Corporate Bond Returns (2013, result): “This is consistent with Collin-Dufresne, Goldstein, and Martin (2001), who argue that credit spreads may be driven by localized supply and demand shocks.”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “Collin-Dufresne, Goldstein, and Martin (2001) who show that changes in”