Determinants of Credit Spreads - An Empirical Analysis for the European Corporate Bond Market (Hardcover, New edition)

Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.

General

Imprint:	Peter Lang Ag
Country of origin:	Switzerland
Series:	Corporate Finance and Governance, 6
Release date:	September 2011
First published:	2011
Authors:	Arne Wilkes
Dimensions:	210 x 148 x 13mm (L x W x T)
Format:	Hardcover
Pages:	138
Edition:	New edition
ISBN-13:	978-3-631-60604-9
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Business & Economics > Economics > Macroeconomics > Monetary economics Books > Business & Economics > Finance & accounting > Finance > Banking Books > Money & Finance > Banking Promotions
LSN:	3-631-60604-4
Barcode:	9783631606049

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