메뉴 건너뛰기




Volumn 29, Issue 12, 2005, Pages 3141-3158

On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads

Author keywords

Corporate bond; Systematic risk factors; Yield spread

Indexed keywords


EID: 28044437330     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.01.007     Document Type: Article
Times cited : (32)

References (18)
  • 2
    • 0013183361 scopus 로고    scopus 로고
    • A comparative study of structural models of corporate bond yields: An exploratory investigation
    • R. Anderson S. Sundaresan A comparative study of structural models of corporate bond yields: An exploratory investigation Journal of Banking and Finance 24 1996 255-269
    • (1996) Journal of Banking and Finance , vol.24 , pp. 255-269
    • Anderson, R.1    Sundaresan, S.2
  • 3
    • 0040517321 scopus 로고    scopus 로고
    • Empirical performance of alternative option pricing models
    • X. Bakshi G.C. Cao Z. Chen Empirical performance of alternative option pricing models Journal of Finance 52 1997 2003-2049
    • (1997) Journal of Finance , vol.52 , pp. 2003-2049
    • Bakshi, X.1    Cao, G.C.2    Chen, Z.3
  • 4
    • 84944831925 scopus 로고
    • Valuing corporate securities: Some effects of bond indenture provisions
    • F. Black J.C. Cox Valuing corporate securities: Some effects of bond indenture provisions Journal of Finance 31 1976 351-367
    • (1976) Journal of Finance , vol.31 , pp. 351-367
    • Black, F.1    Cox, J.C.2
  • 6
    • 4043076583 scopus 로고    scopus 로고
    • Structural models of corporate bond pricing: An empirical analysis
    • Working Paper, Yonsei University
    • Eom, Y.H., Helwege, J., Huang, J.Z., 2001. Structural models of corporate bond pricing: An empirical analysis, Working Paper, Yonsei University.
    • (2001)
    • Eom, Y.H.1    Helwege, J.2    Huang, J.Z.3
  • 7
    • 0040588370 scopus 로고    scopus 로고
    • Tax and liquidity effects in pricing government bonds
    • E.J. Elton T.C. Green Tax and liquidity effects in pricing government bonds Journal of Finance 53 1998 1533-1562
    • (1998) Journal of Finance , vol.53 , pp. 1533-1562
    • Elton, E.J.1    Green, T.C.2
  • 9
    • 84977707532 scopus 로고
    • Option arbitrage in imperfect markets
    • S. Figlewski Option arbitrage in imperfect markets Journal of Finance 44 1989 1289-1313
    • (1989) Journal of Finance , vol.44 , pp. 1289-1313
    • Figlewski, S.1
  • 10
    • 84974489263 scopus 로고
    • The valuation of corporate liabilities as compound options
    • R. Geske The valuation of corporate liabilities as compound options Journal of Financial and Quantitative Analysis 12 1977 541-552
    • (1977) Journal of Financial and Quantitative Analysis , vol.12 , pp. 541-552
    • Geske, R.1
  • 11
    • 84993608428 scopus 로고
    • Risky debt, bond covenants and optimal capital structure
    • H. Leland Risky debt, bond covenants and optimal capital structure Journal of Finance 49 1994 1213-1252
    • (1994) Journal of Finance , vol.49 , pp. 1213-1252
    • Leland, H.1
  • 12
    • 0039021357 scopus 로고    scopus 로고
    • Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads
    • H. Leland K. Toft Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads Journal of Finance 51 1996 987-1019
    • (1996) Journal of Finance , vol.51 , pp. 987-1019
    • Leland, H.1    Toft, K.2
  • 13
    • 21844512316 scopus 로고
    • Option prices and the martingale restriction
    • F. Longstaff Option prices and the martingale restriction Review of Financial Studies 8 1995 1091-1124
    • (1995) Review of Financial Studies , vol.8 , pp. 1091-1124
    • Longstaff, F.1
  • 15
    • 0000808665 scopus 로고
    • On the pricing of corporate debt: The risk structure of interest rates
    • R.C. Merton On the pricing of corporate debt: The risk structure of interest rates Journal of Finance 29 1974 449-470
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 18
    • 1842663087 scopus 로고    scopus 로고
    • Default risk in equity premiums
    • M. Vassalou Y. Xing Default risk in equity premiums Journal of Finance 59 2004 831-868
    • (2004) Journal of Finance , vol.59 , pp. 831-868
    • Vassalou, M.1    Xing, Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.