We examine the question of the determinants of corporate bond credit spreads using both
weekly and monthly option-adjusted spreads for nine corporate bond indexes from Merrill …

We investigate the determinants of daily changes in credit spreads in the US corporate bond
market. Using a sample of liquid investment grade and high‐yield bonds, we show that both …

Sterling, dollar and euro-denominated corporate bond spreads narrowed substantially
between late 2002 and mid-2007, but widened abruptly during the recent financial market …

Variables that in theory determine credit spreads have limited explanatory power in existing
empirical work on corporate bond data. We investigate the linear relationship between …

This paper is one of the first to examine the empirical determinants of credit spread changes
on corporate bonds in the Australian market. Eight different credit spread changes are …

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate
the determinants of credit spread changes. Variables that should in theory determine credit …

As of the end of the fourth quarter of 2006 the outstanding notional amount of US corporate
bonds totaled $8.2 trillion, the third largest asset class after equities and mortgage-backed …

ABSTRACT I decompose the variation of credit spreads for corporate bonds into changing
expected returns and changing expectation of credit losses. Using a log‐linearized pricing …

This paper explores the ability of variables suggested by structural models to explain
variation in CDS spread changes. Using monthly changes in CDS spreads for 333 firms from …

Using secondary market data on corporate bonds issued in Japan between 1997 and 2005,
this paper explores the determinants of the credit spread of corporate bond rates over …