The Myth of the Credit Spread Puzzle

• 成果类型: Article
• 署名作者: Feldhutter, Peter; Schaefer, Stephen M.
• 署名单位: Copenhagen Business School; University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy032
• 发表日期: 2018
• 页码: 2897
• 关键词: STRUCTURAL MODELS; bond; liquidity; RISK; premium

摘要

Are standard structural models able to explain credit spreads on corporate bonds? In contrast to much of the literature, we find that the Black-Cox model matches the level of investmentgrade spreads well. Model spreads for speculative-grade debt are too low, and we find that bond illiquidity contributes to this underpricing. Our analysis makes use of a new approach for calibrating the model to historical default rates that leads to more precise estimates of investment-grade default probabilities.