A Pure Test for the Elasticity of Yield Spreads



A Pure Test for the Elasticity of Yield Spreads

Gady Jacobyf

Department of Accounting and Finance,

I.H. Asper School of Business,

Faculty of Management,

University of Manitoba,

Winnipeg, MB, Canada, R3T 5V4.

Tel: (204) 474 9331, Fax: (204) 474 7545.

Email: [email protected]

Chuan Liao

Max M. Fisher College of Business

The Ohio State University

812 Fisher Hall

2100 Neil Avenue

Columbus, OH 43210-1144

Tel: (614) 292-8708

Email: [email protected]

Jonathan A. Batten

Department of Finance

Hong Kong University of Science & Technology

Clear Water Bay, Kowloon, Hong Kong

Tel: (852) 2358 8202

Fax: (852) 2358 1749

Email: [email protected]

Date: 17th October 2006

JEL classification: G11.

Key words: Bond Yield Spread, Default Risk, Callable Bonds, Corporate Bonds.

Acknowledgements:

The authors would like to thank Jean Helwege, Maureen O’Hara and Gordon Roberts for
their comments. Thanks also to Ilona Shiller for research assistance. All errors are the
exclusive fault of the authors. In addition, Jacoby thanks the Social Sciences and Humanities
Research Council of Canada for its financial support. Liao would like to acknowledge the
Asper School of Business and the Max M. Fisher College of Business for their financial
support.

f Corresponding author. [email protected].



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