Treasury Yields and Corporate Bond Yield Spreads PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Treasury Yields and Corporate Bond Yield Spreads PDF full book. Access full book title Treasury Yields and Corporate Bond Yield Spreads by Gregory R. Duffee. Download full books in PDF and EPUB format.
Author: Gregory R. Duffee Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are quot;refreshedquot; indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined.
Author: Gregory R. Duffee Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are quot;refreshedquot; indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined.
Author: Gregory R. Duffee Publisher: ISBN: 9781298051028 Category : Languages : en Pages : 38
Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Gady Jacoby Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
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.
Author: Mr.Jorge A. Chan-Lau Publisher: INTERNATIONAL MONETARY FUND ISBN: 9781451857580 Category : Business & Economics Languages : en Pages : 0
Book Description
This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and AAA-rated bonds - have significant predictive content for future growth rate of industrial production at 3 to 18 months forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component is also able to capture "industrial production business cycle" well.
Author: Sergei Ivanovich Tishchenko Publisher: ISBN: Category : Bonds Languages : en Pages :
Book Description
Abstract: Corporate bond bid-ask spreads explain 40 percent of the temporal variation in yield spreads when daily individual bond data are used. Other known yield spread determinants such as the level and slope of the treasury yield curve, aggregate equity returns and implied volatility jointly explain only 10 percent of the yield spread variation. On average, approximately 60 percent of the bid-ask spread is impounded in the corporate yield spread. The estimates of the yield spread sensitivity to bid-ask spread changes are remarkably stable across bonds with different Standard & Poor's credit grades ranging from AAA to CC. This evidence supports the view that corporate bond liquidity is an important yield spread determinant.
Author: F. Hagenstein Publisher: Springer ISBN: 0230523293 Category : Business & Economics Languages : en Pages : 355
Book Description
Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Author: Douglas J. Lamdin Publisher: ISBN: Category : Languages : en Pages : 21
Book Description
Corporate bond interest rates are a subject of concern to investment analysts, corporate financial managers, and scholars. In this article the yield spreads between corporate bonds and government bonds, and between differing quality corporate bonds is examined during recent decades. Also, the relationship between yield spreads and stock market movements is examined. Yield spreads vary considerably over this period, and have varying trends. Causality tests show that stock market movements precede changes in yield spreads.
Author: Gregory R. Duffee
Author: Gregory R. Duffee
Author: Gregory R. Duffee
Author: Gady Jacoby
Author: Ronald W. Anderson
Author: Mr.Jorge A. Chan-Lau
Author: Sergei Ivanovich Tishchenko
Author: Song Han
Author: F. Hagenstein
Author: Douglas J. Lamdin
Author: Joseph W. Conard