Individual Stock-Option Prices and Credit Spreads
By Martijn Cremers, Joost Driessen, Pascal J. Maenhout, David R. Weinbaum. 2008
280 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/79362f18f91e6ea2ac7761b5980b4a47efefc669
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In Finance
- George Tauchen
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Citations in the corpus
- Reputation and Loan Contract Terms: The Role of Principal Customers (2016, background): “25 two of the most robust determinants of loan spreads both empirically and theoretically (e.g., Merton, 1974; Collin-Dufresne, Goldstein, and Martin, 2001; Campbell and Taksler, 2003; Cremers et al., 2008).”
- Realized Jumps on Financial Markets and Predicting Credit Spreads (2006, background): “, 2006), and option-implied volatility (Cremers et al., 2004; Cao et al., 2006), with a control for market return, book-to-market, and size risk factors (Fama and French, 1993).”
- An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil (2010, background): “Elton et al. (2001) identify the expected default loss, a tax premium, and a risk premium for the systematic, and thus not diversifiable, part of the risk on corporate bonds, as the main components of credit spreads. Following the same line of research, Driessen (2005) shows that risk premia for liq”
- Corporate Bond Credit Spreads and Forecast Dispersion (2010, unknown): “4 Consistent with our results, Cremers et al. (2008) find a positive relation between individual option-implied volatility and credit spreads for the 1996–2002 period.”
- Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, unknown): “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)).”