The DOI matches its Crossref record; 57 of the 57 references it cites were found in a registry or an index.
Market conditions, default risk and credit spreads
Open accessAbstract
This study empirically examines the impact of the interaction between market and default risk on corporate credit spreads. Using credit default swap (CDS) spreads, we find that average credit spreads decrease in GDP growth rate, but increase in GDP growth volatility and jump risk in the equity market. At the market level, investor sentiment is the most important determinant of credit spreads. At the firm level, credit spreads generally rise with cash flow volatility and beta, with the effect of cash flow beta varying with market conditions. We identify implied volatility as the most significant determinant of default risk among firm-level characteristics. Overall, a major portion of individual credit spreads is accounted for by firm-level determinants of default risk, while macroeconomic variables are directly responsible for a lesser portion.
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Cites
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, M. A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn053 · Cited by 10,746
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Merton, R. C. (1974) · The Journal of Finance · doi:10.1111/j.1540-6261.1974.tb03058.x · Cited by 10,581
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Business conditions and expected returns on stocks and bonds
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On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
Merton, R. C. (1974) · The Journal of Finance · doi:10.2307/2978814 · Cited by 2,751
Accounting earnings and cash flows as measures of firm performance
Dechow, P. M. (1994) · Journal of Accounting and Economics · doi:10.1016/0165-4101(94)90016-7 · Cited by 2,582
The Determinants of Credit Spread Changes
Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00402 · Cited by 2,246
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
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Cited by
Safer ratios, riskier portfolios: Banks׳ response to government aid
Duchin, R., & Sosyura, D. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.03.005 · Cited by 459
Metadata
- Authors
- Tang, D. Y., & Yan, H.
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2010-04
- Volume
- 34
- Issue
- 4
- Pages
- 743-753
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W3122762010
- Cited by
- 339
- References
- 57
- FWCI
- 28.57
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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