Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads
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Total Pages : 66
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ISBN-10 : CORNELL:31924110118407
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Book Synopsis Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads by : Song Han

Download or read book Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads written by Song Han and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads
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Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads

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Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads

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We examine the relationship between the nondefault component of corporate bond spreads and bond liquidity measures constructed from intraday transactions data,
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Latent Liquidity and Corporate Bond Yield Spreads

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Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their riskless benchmarks. O
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Type: BOOK - Published: 2009 - Publisher:

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Using the information in credit default swaps, we directly estimate the default, tax and liquidity components in the corporate yield spread from a generalized p
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In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimat