Information uncertainty, information asymmetry and corporate bond yield spreads

Chia-Wu Lu, Tsung-Kang Chen and Hsien-Hsing Liao

Journal of Banking & Finance, 2010, vol. 34, issue 9, 2265-2279

Abstract: This study examines the effects of information uncertainty and information asymmetry on corporate bond yield spreads using American data from 2001 to 2006. Empirical results of this study show that investors charge a significant risk premium for both information uncertainty and information asymmetry when controlling for variables well known in the literature. The results are robust even when controlling for credit ratings. Finally, information uncertainty and asymmetry help structural-form credit models explain the yield spreads of bonds with short maturities.

Keywords: Information; uncertainty; Information; asymmetry; Bond; yield; spreads (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (87)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:9:p:2265-2279

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