Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads
Author: Song Han
Publisher:
Total Pages: 66
Release: 2008
Genre:
ISBN:


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Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads
Language: en
Pages: 66
Authors: Song Han
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads
Language: en
Pages: 52
Authors: Song Han
Categories:
Type: BOOK - Published: 2016 - Publisher:

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We examine the relationship between the nondefault component of corporate bond spreads and bond liquidity measures constructed from intraday transactions data,
Latent Liquidity and Corporate Bond Yield Spreads
Language: en
Pages: 47
Authors: Amrut J. Nashikkar
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their riskless benchmarks. O
Nondefault Components of Corporate Yield Spreads
Language: en
Pages: 52
Authors: Hai Lin
Categories:
Type: BOOK - Published: 2009 - Publisher:

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Using the information in credit default swaps, we directly estimate the default, tax and liquidity components in the corporate yield spread from a generalized p
Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants
Language: en
Pages:
Authors: Uğur N. Küçük
Categories:
Type: BOOK - Published: 2019 - Publisher:

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In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimat