Structural Models of Corporate Bond Pricing: An Empirical Analysis

By Young Ho Eom, Jean Helwege, Jing-Zhi Huang. 2004

941 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/5ec159ff15edc51172497f6de4622fd14c2b75e4

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Citations in the corpus

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, neutral): “Although subsequent work (e.g., Eom et al. 2004) documents that various structural models can generate diverse predictions for credit spreads, Huang and Huang (2003) show that once these models are calibrated to be consistent with historical default and recovery rates, they all produce very similar…”
Price Dispersion in OTC Markets: A New Measure of Liquidity (2011, background): “In addition, investors face search 4See Elton et al. (2001), Collin-Dufresne et al. (2001), Houweling et al. (2003), Perraudin and Taylor (2003), Eom et al. (2004), Liu et al. (2004), Longstaff et al. (2005), and De Jong and Driessen (2006).”
An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil (2010, background): “…of individual structural models to describe the actual behavior of credit risk is still a matter of debate (e.g. Anderson and Sundaresan, 2000, Eom et al., 2004, Tarashev, 2005, and Ericsson et al., 2007), during the last few years there has been a new strand of literature that, departing…”
A Market-Based Study of the Cost of Default (2012, methodology): “The downside of using a boundary-based model is that such models often lack accuracy in the cross-section (Eom et al. (2004), Davydenko (2011)).”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, background): “While Fisher (1959) took a simple regression approach to explaining yield spreads on corporate debt in terms of various credit-quality and liquidity related variables, Fons (1987) gave the earliest empirical analysis, to our knowledge, of the relationship between actual and risk-neutral default prob”
Stochastic Volatility Effects on Defaultable Bonds (2006, background): “[8], one of the challenges for theoretical pricing models is to raise the average predicted spread relative to crude models such as the constant volatility model presented in the next section, without overstating the risks associated with volatility or leverage.”
A theory of corporate financial decisions with liquidity and solvency concerns (2011, positive): “Empirically, Eom, Helwege, and Huang (2004) show that existing models tend to predict credit spreads that are too high if observed spreads are relatively high, while predicted spreads are too low if observed spreads are relatively low.”
Term Structure Dynamics in Theory and Reality (2003, result): “13 There is substantial empirical evidence that the assumption of constant risk premiums maintained in the expectations theory is inconsistent with historical data; see, for example, Fama (1984a,b), Fama and Bliss (1987), and Campbell and Shiller (1991).”