How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?

By Jing-Zhi Huang, Ming Huang. 2003

454 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8a498791ed1b2c411117f5ff513cff5c783c43be

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Citations in the corpus

Value investing in credit markets (2012, unknown): “Finally, it is also worth noting that the existing literature in financial economics finds that structural models of credit risk tend to understate actual credit spreads (e.g., Huang and Huang 2003; Schaefer and Strebulaev 2008).”
The Maturity of Debt Issues and Predictable Variation in Bond Returns (2003, unknown): “Huang and Huang (2002) argue that corporate bond default spreads are too large relative to equity risk premia, suggesting that these markets are in fact segmented, and Titman (2002) discusses other evidence of segmentation.”
Horses and Rabbits? Trade-Off Theory and Optimal Capital Structure (2005, background): “Huang and Huang (2003) discuss how firms often continue to operate even when their asset values fall below the face value of outstanding debt.”
Business and default cycles for credit risk (2003, methodology): “Third, we use quarterly data over the post-war period and corroborate the results for the annual data. and Mann (2001) and Huang and Huang (2003) for empirical analyses on this issue.”
Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010, unknown): “Hund and Lesmond (2007) provide evidence that a significant part of the spread on emerging market corporate and sovereign debt may be explained by liquidity.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “For example, the average total liquidity premium for a 4-year bond is 88 basis points matching the unexplained 96-10=86 basis points for an A-rated bond in Huang and Huang (2003).”
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “In addition, there has been a recent resurgence in understanding the level of spreads (see Eom, Helwege, and Huang 2004, Huang and Huang 2003).”
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, unknown): “Given E h B−γt+1 i ' 10 in the calibration, the model proposes why corporate spread is so high, compared to historical U.S. values (e.g. Huang and Huang 2003).”