A Pure Test for the Elasticity of Yield Spreads

References

Anderson, R. and S. Sundaresan, 1996. Design and valuation of debt contracts, Review of
Financial Studies 9: 37-68.

Avramov, D., G. Jostova, and A. Philipov, 2005, Corporate credit risk changes: common
factors and firm-level fundamentals, Working Paper, University of Maryland.

Batten J., W. Hogan, and G. Jacoby, 2005, Measuring credit spreads: evidence from
Australian Eurobonds, Applied Financial Economics, 15, 651-666.

Wagner, N., W. Hogan and J. Batten, 2005, Interest Rates, Stock Market Returns, and
Variations in German Credit Spreads. Economic Notes, 34(1): 35-50.

Berk, J. B., R. C. Green, and V. Naik, 1999, Optimal investment, growth options and security
returns, Journal of Finance 54, 1553-1607.

Black, F., and J. C. Cox, 1976, Valuing corporate securities: Some effects of bond indenture
provisions, Journal of Finance 31, 351-367.

Bodie, Z., and R. A. Taggart, 1978, Future investment opportunities and the value of the call
provision on a bond, Journal of Finance 33, 1187-1200.

Campbell, J., and G. B. Taksler, 2003. Equity Volatility and Corporate Bond Yields, Journal
of Finance. 58, 2321-2349.

Chance, D. M., 1990, Default risk and the duration of zero coupon bonds, Journal of
Finance 35, 265-274.

Chen, L., D. A. Lesmond and J. Wei (forthcoming), Corporate yield spreads and bond
liquidity, Journal of Finance.

Collin-Dufresne, P., R.S. Goldstein, and J.S. Martin, 2001, The determinants of credit spread
changes, Journal of Finance 56, 2177-2207.

Constantinides, G. M., and J. E. Ingersoll, Jr., 1984, Optimal bond trading with personal
taxes, Journal of Financial Economics 13, 299-335.

Das, S. R., and R. K. Sundaram, 2000, A discrete-time approach to arbitrage-free pricing of
credit derivatives, Management Science 46, 46-62.

Duffee, R. G., 1998, The relation between treasury yields and corporate bond yield spreads,

32

<<   32   33   34   35   36   37   38   >>

More intriguing information