Factors Affecting the Valuation of Corporate Bonds

By Edwin J. Elton, Martin Gruber, Deepak Agrawal, Christopher Mann. 2002

155 citations recorded by the source corpus.

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Comparing Possible Proxies of Corporate Bond Liquidity (2003, unknown): “Its use was first proposed by Fisher (1959), who claimed that large issues should trade more often, so that the proxy issued amount is actually a proxy for the direct liquidity measure trading volume.”
Equity Volatility and Corporate Bond Yields (2002, unknown): “Elton et al. (2000, 2001) ¢nd similar problems with AAA-rated bonds in their data set.”
The Performance of Credit Rating Systems in the Assessment of Collateral used in Eurosystem Monetary Policy Operations (2007, background): “Commercial banks have a natural interest in the subject because probabilities of default are inputs in the pricing of all sorts of risk assets, such as bonds, loans and credit derivatives (see e.g. Cantor et al. (1997), Elton et al. (2004), and Hull et al. (2004)).”
An introduction to recent research on credit ratings (2004, background): “4 Elton et al. (2004) make some additional contributions to this large literature.”
Monitoring and Controlling Bank Risk: Does Risky Debt Help? (2005, unknown): “This database is an alternative to the no longer available Warga (1998) database used by Collin-Dufresne, Goldstein and Martin (2001) and Elton, Gruber, Agrawal and Mann (2000, 2001) and is the one used by Campbell and Taksler (2002).”