In this paper we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical literature has highlighted as important determinants of credit spread levels. This study extends the analysis further and assesses their impact on credit slopes. We find that these factors impact credit spreads at short and long maturities in a significantly different way.

The Slope of the Term Structure of Credit Spreads: An Empirical Investigation

BEDENDO M;
2007

Abstract

In this paper we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market and idiosyncratic equity variables, that recent empirical literature has highlighted as important determinants of credit spread levels. This study extends the analysis further and assesses their impact on credit slopes. We find that these factors impact credit spreads at short and long maturities in a significantly different way.
THE JOURNAL OF FINANCIAL RESEARCH
BEDENDO M; CATHCART L; EL-JAHEL L
File in questo prodotto:
Eventuali allegati, non sono esposti

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/704433
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 16
  • ???jsp.display-item.citation.isi??? ND
social impact