On Estimating the Relation between Corporate Bond Yield Spreads and Treasury Yields
Author | : Gady Jacoby |
Publisher | : |
Total Pages | : 33 |
Release | : 2003 |
ISBN-10 | : OCLC:1290394506 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book On Estimating the Relation between Corporate Bond Yield Spreads and Treasury Yields written by Gady Jacoby and published by . This book was released on 2003 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a simple theoretical framework, we issue two warnings with respect to the estimation of the yield spread - riskless rate relation. The first warning relates to Longsta and Schwartz's regression analysis applied to relative yield spreads. The second warning is closely related to Duffee's (1998) caution against interpreting results of yield-spread studies based on data sets, such as that used by Longstaand Schwartz (1995), consisting primarily of callable bonds. We provide strong support for both warnings using a data base of Canadian, investment grade, corporate bond indices containing a unique provision allowing to identify callable and noncallable indices.