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Cited by 1,000

The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.

How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?

Open access
Huang, Jing-Zhi, Huang, Ming·2012·Review of Asset Pricing Studies
DOI 10.1093/rapstu/ras011
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Abstract

We show that credit risk accounts for only a small fraction of yield spreads for investment-grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that it accounts for a much higher fraction of yield spreads for high-yield bonds. This conclusion is shown to be robust across a wide class of structural models. We obtain such results by calibrating each of the models to be consistent with data on the historical default loss experience and equity risk premia, and demonstrating that different models predict similar credit risk premia under empirically reasonable parameter choices. (JEL G13, G12, G33, G24)

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Metadata

Authors
Huang, J.-Z., & Huang, M.
Venue
Review of Asset Pricing Studies
Publisher
Oxford University Press (OUP)
Published
2012-11-15
Volume
2
Issue
2
Pages
153-202
ISSN
  • 2045-9920 (ISSN-L)
  • 2045-9939
DOI
10.1093/rapstu/ras011
OpenAlex
W3126074134
Cited by
1,000
References
3
FWCI
107.72
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? https://app.cochat.ai/papers/10.1093/rapstu/ras011
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Huang, J.-Z., & Huang, M. (2012). How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? Review of Asset Pricing Studies. https://doi.org/10.1093/rapstu/ras011

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.