Review on Foreign Study of Corporate Bond Spread

Article Preview

Abstract:

Foreign literatures are mainly about analyst forecast dispersion, liquidity risk, equity market volatility, default risk, taxes, credit risk, and the interaction of credit risk and default risk and other factors that influence bond spread. The literatures including the research on the impact of equity market index, but little literatures refer to the impact of bond complex index on bond spread. There are different opinions about the impact of systemic risk on bond spread

You might also be interested in these eBooks

Info:

Periodical:

Advanced Materials Research (Volumes 655-657)

Pages:

2258-2261

Citation:

Online since:

January 2013

Export:

Price:

Permissions CCC:

Permissions PLS:

Сopyright:

© 2013 Trans Tech Publications Ltd. All Rights Reserved

Share:

Citation:

[1] W R. Perraudin, A P. Taylor. Liquidity and bond market spreads. working paper, (2003).

Google Scholar

[2] V V. Acharya, L H. Pedersen. Asset pricing with liquidity risk. Journal of Financial Economics, 77, (2005) 375–410.

DOI: 10.1016/j.jfineco.2004.06.007

Google Scholar

[3] J. Ericsson, O. Renault. Liquidity and Credit Risk. Journal of Finance, 6 (2006) 2219-2250.

DOI: 10.1111/j.1540-6261.2006.01056.x

Google Scholar

[4] L. Chen, D A. Lesmond, J. Wei. Corporate Yield Spreads and Bond Liquidity. Journal of Finance, 7 (2007) 119-149.

DOI: 10.1111/j.1540-6261.2007.01203.x

Google Scholar

[5] V V. Acharya, Y. Amihud, S T. Bharath. Liquidity risk of corporate bond returns. working paper, (2010).

DOI: 10.3386/w16394

Google Scholar

[6] J. Dick-Nielsen, P. Feldhutter, D. Lando. Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics, 103, (2010) 471-492.

DOI: 10.1016/j.jfineco.2011.10.009

Google Scholar

[7] D. Bongaerts, F D. Jong, J. Driessen. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market. Journal of finance, 6, (2011) 203-240.

DOI: 10.1111/j.1540-6261.2010.01630.x

Google Scholar

[8] H. Lin, J. Wang, C. Wu. Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99, (2011) 628-650.

DOI: 10.1016/j.jfineco.2010.10.004

Google Scholar

[9] T K. Chen, H H. Liao, P L. Tsai. Internal liquidity risk in corporate bond yield spreads. Journal of Banking & Finance, 35, (2011) 978-987.

DOI: 10.1016/j.jbankfin.2010.09.013

Google Scholar

[10] J Y. Campbell, G B. Taksler. Equity Volatility and Corporate Bond Yields. Journal of Finance, 8, (2003) 2321-2349.

DOI: 10.1046/j.1540-6261.2003.00607.x

Google Scholar