| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20776 |
| 来源ID | Working Paper 20776 |
| Option-Based Credit Spreads | |
| Christopher L. Culp; Yoshio Nozawa; Pietro Veronesi | |
| 发表日期 | 2014-12-22 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads, pseudo-bond spreads are large, countercyclical, and predict lower economic growth. Using this framework, we find that bond market illiquidity, investors’ over-estimation of default risks, and corporate frictions do not seem to explain excessive observed credit spreads, but, instead, a risk premium for tail and idiosyncratic asset risks is the primary determinant of corporate spreads. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w20776 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578451 |
| 推荐引用方式 GB/T 7714 | Christopher L. Culp,Yoshio Nozawa,Pietro Veronesi. Option-Based Credit Spreads. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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