Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market

• 成果类型: Article
• 署名作者: Longstaff, FA; Mithal, S; Neis, E
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00797.x
• 发表日期: 2005
• 页码: 2213-2253
• 关键词: term structure; derivatives; MODEL

摘要

We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond market liquidity.