کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090807 | 1375646 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Structural models of corporate bond pricing with personal taxes
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The structural approach offers an integrated framework to deal with yield spreads and default probability simultaneously. However, structural models perform poorly in predicting corporate bond spreads. It is unclear whether this poor performance is caused by characteristics of individual models, missing factors, or different calibration procedures. This study evaluates the performance of four structural models by incorporating two important factors, personal taxes and the liquidity factor, and calibrating these models to data. To ensure our results are not contingent on the calibration method, we further apply the maximum likelihood estimation method to a large sample of individual bonds. Results consistently show that the ability of structural models to predict spreads improves considerably when personal taxes and liquidity are taken into account. Our findings suggest that the poor performance of standard structural models is more likely due to missing factors than the characteristics of individual models or the calibration procedure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 7, July 2010, Pages 1700-1718
Journal: Journal of Banking & Finance - Volume 34, Issue 7, July 2010, Pages 1700-1718
نویسندگان
Howard Qi, Sheen Liu, Chunchi Wu,