Determinants of credit spreads: The role of ambiguity and information uncertainty

Liang Guo

The North American Journal of Economics and Finance, 2013, vol. 24, issue C, 279-297

Abstract: This paper is a survey of the theoretical and empirical literature on the determinants of credit spreads. In particular I discuss whether some observations on credit spreads can be related to information risk and ambiguity about the probabilistic structure of the process driving the fundamental value of credit securities. Corporate bond yield spreads are a compensation for the various sources of risk such as default, liquidity, taxes and systematic factors. Empirical studies show that corporate bond yield spreads are still larger than can be explained by these known determinants of credit spreads. I intertwine the literature on information risk premia and ambiguity premia and argue that some observations can possibly be related to such risks.

Keywords: Credit spread; Information uncertainty; Ambiguity (search for similar items in EconPapers)
JEL-codes: G13 G33 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940812000885
Full text for ScienceDirect subscribers only

Related works:
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: https://EconPapers.repec.org/RePEc:eee:ecofin:v:24:y:2013:i:c:p:279-297

DOI: 10.1016/j.najef.2012.10.003

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().