| Record ID | marc_loc_2016/BooksAll.2016.part33.utf8:68942569:1813 |
| Source | Library of Congress |
| Download Link | /show-records/marc_loc_2016/BooksAll.2016.part33.utf8:68942569:1813?format=raw |
LEADER: 01813cam a22003257a 4500
001 2005615696
003 DLC
005 20050202100101.0
007 cr |||||||||||
008 050113s2004 mau sb 000 0 eng
010 $a 2005615696
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aLongstaff, Francis A.,$d1956-
245 10 $aCorporate yield spreads$h[electronic resource] :$bdefault risk or liquidity? New evidence from the credit-default swap market /$cFrancis A. Longstaff, Sanjay Mithal, Eric Neis.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004.
490 1 $aNBER working paper series ;$vworking paper 10418
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/13/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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"--National Bureau of Economic Research web site.
650 0 $aCorporate debt.
650 0 $aDefault (Finance)
700 1 $aMithal, Sanjay.
700 1 $aNeis, Eric.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10418.
856 40 $uhttp://papers.nber.org/papers/W10418