On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

By Long Chen, Pierre Collin-Dufresne, Robert S. Goldstein. 2009

395 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/79c04f40ac997f894902e98e8cf4853941d4f512

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Citations in the corpus

The Wealth-Consumption Ratio (2008, neutral): “Cochrane and Saa-Requejo (2000) and Alvarez and Jermann (2004) choose a “good deal” bound of one, which they argue is high because it is twice the 0.”
Credit Risk and Disaster Risk (2013, neutral): “20The leverage and default probability data are taken from Chen, Collin-Dufresne, and Goldstein (2009).”
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, positive): “Additionally, Chen, Collin-Dufresne, and Goldstein (2006) (henceforth CCG) have contributed to a deepening of the puzzle.”
Issuer Quality and Corporate Bond Returns (2013, neutral): “…Under such explanations, a decline in investors’ required returns during booms leads to a decline in issuer quality because changes in the 22 Chen, Collin-Dufresne, and Goldstein (2009) argue that the habit formation models can…”
The expected cost of default (2016, background): “Hackbarth, Miao, and Morellec (2006) and Chen, Collin-Dufresne, and Goldstein (2009) also consider time-varying macroeconomic conditions in models of credit risk, though in slightly different frameworks than the one used in this paper.”
The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2010, background): “…a discussion of these issues see, for example, Goldstein, Ju, and Leland (2001), Korajczyk and Levy (2003), Leary and Roberts (2005), Hennessy and Whited (2005), Hackbarth, Miao, and Morellec (2006), Hennessy and Whited (2007), Strebulaev (2007), and Chen, Collin-Dufresne, and Goldstein (2008).”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, neutral): “…and this has given rise to the ”credit spread puzzle”, namely that corporate yield spreads, particularly at very short maturities, are too high to be explained by the corporate bond issuer’s default risk (see for example Huang and Huang (2003) and Chen, Collin-Dufresne, and Goldstein (2008)).”
Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets (2009, background): “Recent theoretical work has examined the importance of aggregate risk and different specifications of investors’ preferences for generating default-risk premiums and matching historical credit spreads; see, for example, Chen, Collin-Dufresne, and Goldstein [2008] and Chen [2008].”