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Cited by 2,087

The DOI matches its Crossref record.

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

Open access
LONGSTAFF, FRANCIS A., MITHAL, SANJAY, NEIS, ERIC·2005·The Journal of Finance
DOI 10.1111/j.1540-6261.2005.00797.x
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Abstract

We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond‐specific illiquidity as well as to macroeconomic measures of bond market liquidity.

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Metadata

Authors
LONGSTAFF, F. A., MITHAL, S., & NEIS, E.
Venue
The Journal of Finance
Publisher
Wiley
Published
2005-09-16
Volume
60
Issue
5
Pages
2213-2253
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2005.00797.x
OpenAlex
W2155797117
Cited by
2,087
References
0
FWCI
84.17
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market. https://app.cochat.ai/papers/10.1111/j.1540-6261.2005.00797.x
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LONGSTAFF, F. A., MITHAL, S., & NEIS, E. (2005). Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00797.x

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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.