Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7413840 | Research in International Business and Finance | 2018 | 23 Pages |
Abstract
This paper investigates the determinants of the corporate credit spreads changes in the Japanese bond markets. We show that the business cycle risk and market skewness risk affect changes in the credit spread in Japan even after controlling for the frequently used variables. We also find that the magnitude of market skewness risk is relatively higher for low-rated bonds. Our results are robust to changes in credit ratings, different maturity groups and time periods around the recent global financial crisis.
Keywords
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Business and International Management
Authors
A.S.M. Sohel Azad, Abdelaziz Chazi, Peter Cooper, Amirul Ahsan,