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What determines the Japanese corporate credit spread? A new evidence

A.S.M. Sohel Azad, Abdelaziz Chazi, Peter Cooper and Amirul Ahsan

Research in International Business and Finance, 2017, vol. 41, issue C, 354-361

Abstract: This paper investigates the determinants of the corporate credit spreads changes in the Japanese bond markets. We show that the business cycle risk and market skewness risk affect changes in the credit spread in Japan even after controlling for the frequently used variables. We also find that the magnitude of market skewness risk is relatively higher for low-rated bonds. Our results are robust to changes in credit ratings, different maturity groups and time periods around the recent global financial crisis.

Keywords: Japanese bond market; Business cycle risk; Market skewness risk (search for similar items in EconPapers)
JEL-codes: C22 C51 G12 G15 (search for similar items in EconPapers)
Date: 2017
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