Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 2,246

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

The Determinants of Credit Spread Changes

Open access
Collin-Dufresn, Pierre, Goldstein, Robert S., Martin, J. Spencer·2001·The Journal of Finance
DOI 10.1111/0022-1082.00402
Open this paper in CoChat — free account

Abstract

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly cross‐correlated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macroeconomic and financial variables as candidate proxies, we cannot explain this common systematic component. Our results suggest that monthly credit spread changes are principally driven by local supply/demand shocks that are independent of both credit‐risk factors and standard proxies for liquidity.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.1111/0022-1082.00402

Cites

2 of 2 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 2 references

Cited by

See all 2,246

Metadata

Authors
Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S.
Venue
The Journal of Finance
Publisher
Wiley
Published
2001-12
Volume
56
Issue
6
Pages
2177-2207
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00402
OpenAlex
W3122403692
Cited by
2,246
References
2
FWCI
70.21
Type
journal article
Language
en
Open access
green

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: The Determinants of Credit Spread Changes. https://app.cochat.ai/papers/10.1111/0022-1082.00402
The paper
Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001). The Determinants of Credit Spread Changes. The Journal of Finance. https://doi.org/10.1111/0022-1082.00402

Data sources

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.