Macro Factors In Corporate Bond Credit And Liquidity Spreads
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Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile e
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Pages: 64
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The recent global financial crisis reveals the important role of internal liquidity risk in corporate credit risk. However, hardly have any existing studies inv
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Pages: 43
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Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to disentangle the two factors empirically. In this paper we separate
