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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