کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961074 | 929778 | 2010 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Predicting credit spreads
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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چکیده انگلیسی
Predictions of firm-level credit spreads based on the current spot and forward credit spreads can be significantly improved upon by using the information contained in the shape of the credit-spread curve. However, the current credit-spread curve is not a sufficient statistic for predicting future out-of-sample credit spreads; predictions can be significantly improved upon by exploiting the information contained in the shape of the riskless yield curve. In the presence of credit-spread and riskless factors, other macroeconomic, marketwide, and firm-specific risk variables do not significantly improve predictions of credit spreads. These results have important implications for credit-spreads modeling as well as for better understanding corporate capital structure and risk management policies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 19, Issue 4, October 2010, Pages 529-563
Journal: Journal of Financial Intermediation - Volume 19, Issue 4, October 2010, Pages 529-563
نویسندگان
C.N.V. Krishnan, Peter H. Ritchken, James B. Thomson,