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Language: en
Pages: 66
Pages: 66
Type: BOOK - Published: 2008 - Publisher:
Language: en
Pages: 52
Pages: 52
Type: BOOK - Published: 2016 - Publisher:
We examine the relationship between the nondefault component of corporate bond spreads and bond liquidity measures constructed from intraday transactions data,
Language: en
Pages: 47
Pages: 47
Type: BOOK - Published: 2008 - Publisher:
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
Language: en
Pages: 52
Pages: 52
Type: BOOK - Published: 2009 - Publisher:
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
Language: en
Pages:
Pages:
Type: BOOK - Published: 2019 - Publisher:
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