Economics at your fingertips  

Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market

Francis Longstaff, Sanjay Mithal and Eric Neis

Journal of Finance, 2005, vol. 60, issue 5, 2213-2253

Abstract: 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.

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (552) Track citations by RSS feed

Downloads: (external link)

Related works:
Working Paper: Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market (2004) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-09-30
Handle: RePEc:bla:jfinan:v:60:y:2005:i:5:p:2213-2253