کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
983348 | 1480469 | 2009 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The determinants of corporate bond yields
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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
Previous studies have found that common factors explain a high proportion of corporate bond yields. In this paper, we test whether there is a systematic risk premium beyond that implied by a risk-neutral term structure model. We propose a reduced-form term structure model that incorporates both default and tax effects. After controlling the effects of personal taxes and default risk, empirical tests show that at least two of the Fama–French factors are important for corporate bond yields. Our results suggest that term structure models should incorporate aggregate common risk factors in order to better explain the dynamics of corporate bond yields.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 1, February 2009, Pages 85–109
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 1, February 2009, Pages 85–109
نویسندگان
Sheen Liu, Jian Shi, Junbo Wang, Chunchi Wu,