Explaining the Rate Spread on Corporate Bonds
暂无分享,去创建一个
[1] Martin D.D. Evans,et al. Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? , 1995 .
[2] D. Duffie,et al. Swap Rates and Credit Quality , 1996 .
[3] G. Duffee. The relation between Treasury yields and corporate bond yield spreads , 1998 .
[4] D. Duffie,et al. Modeling term structures of defaultable bonds , 1999 .
[5] Donald B. Keim,et al. Returns and Volatility of Low-Grade Bonds 1977–1989 , 1991 .
[6] Understanding Aggregate Default Rates of High-Yield Bonds , 1997 .
[7] On Cox Processes And Credit Risky Bonds , 1999 .
[8] D. Duffie,et al. An Econometric Model of the Term Structure of Interest-Rate Swap Yields , 1997 .
[9] R. Green,et al. Are There Tax Effects in the Relative Pricing of U.S. Government Bonds , 1997 .
[10] G. Maddala,et al. Economic factors and the stock market: a new perspective , 1999 .
[11] R. Cumby,et al. The Term Structure of Credit Risk: Estimates and Specification Tests , 1995 .
[12] J. McCulloch,et al. Measuring the Term Structure of Interest Rates , 1971 .
[13] Historical Default Rates of Corporate Bond Issuers, 1920-1998 , 1999 .
[14] E. Altman. Measuring Corporate Bond Mortality and Performance , 1989 .
[15] M. J. P. Selby,et al. The Pricing of Corporate Debt: A Further Note , 1983 .
[16] The Valuation of Corporate Fixed Income Securities , 1992 .
[17] Peter Tufano,et al. Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads Are Stochastic , 1997 .
[18] Roni Michaely,et al. The Structure of Spot Rates and Immunization , 1990 .
[19] L. Fisher. Determinants of Risk Premiums on Corporate Bonds , 1959, Journal of Political Economy.
[20] Defaults & Returns on High Yield Bonds: Analysis Through 1998 and Default Outlook for 1999-2001 , 1999 .
[21] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[22] E. Fama,et al. Term premiums and default premiums in money markets , 1986 .
[23] Jerome S. Fons. Using Default Rates to Model the Term Structure of Credit Risk , 1994 .
[24] S. Ross,et al. A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .
[25] E. Fama,et al. Common risk factors in the returns on stocks and bonds , 1993 .
[26] E. Altman. Rating Migration of Corporate Bonds: Comparative Results and Investor/Lender Implication , 1996 .
[27] Common Factors in Mutual Fund Returns , 1997 .
[28] K. Brown,et al. An Empirical Analysis of Interest Rate Swap Spreads , 1994 .
[29] Arthur D. Warga,et al. Bond Price Data and Bond Market Liquidity , 1989, Journal of Financial and Quantitative Analysis.
[30] E. Elton,et al. Tax and Liquidity Effects in Pricing Government Bonds , 1997 .
[31] E. Altman,et al. Defaults and Returns on High Yield Bonds: Analysis Through 1994 , 1994 .
[32] L. Goodman. High–yield default rates , 1990 .
[33] Lina El-Jahel,et al. Valuation of Defaultable Bonds , 1998 .
[34] Christopher R. Blake,et al. COMMON FACTORS IN ACTIVE AND PASSIVE PORTFOLIOS , 1999 .
[35] Ramon E. Johnson. TERM STRUCTURES OF CORPORATE BOND YIELDS AS A FUNCTION OF RISK OF DEFAULT , 1967 .
[36] Alan K. Severn,et al. The corporate-treasury yield spread and state taxes , 1992 .
[37] R. Jarrow,et al. A Markov Model for the Term Structure of Credit Risk Spreads , 1997 .
[38] Bradford Cornell,et al. The Investment Performance of Low‐grade Bond Funds , 1991 .
[39] Jean Helwege,et al. The slope of the credit yield curve for speculative-grade issuers , 1999 .
[40] Robert B. Litterman,et al. Common Factors Affecting Bond Returns , 1991 .
[41] 西野 嘉一郎,et al. Federal Reserve Bank of New Yorkの制定せる財務諸表様式について , 1951 .
[42] Lars E. O. Svensson,et al. Estimating the Term Structure of Interest Rates for Monetary Policy Analysis , 1996 .
[43] A. Siegel,et al. Parsimonious modeling of yield curves , 1987 .
[44] R. Geske. The Valuation of Corporate Liabilities as Compound Options , 1977, Journal of Financial and Quantitative Analysis.
[45] Lea V. Carty,et al. Historical Default Rates of Corporate Bond Issuers, 1920 - 1996 , 1997 .
[46] Gregory Connor,et al. A Test for the Number of Factors in an Approximate Factor Model , 1993 .
[47] E. Elton. Expected return, realized return, and asset pricing tests , 1999 .