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Distress risk, product market competition, and corporate bond yield spreads

Han-Hsing Lee ()
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Han-Hsing Lee: National Chiao Tung University

Review of Quantitative Finance and Accounting, 2020, vol. 55, issue 3, No 10, 1093-1135

Abstract: Abstract The purpose of this paper is to examine whether industry-level risk affects corporate bond yield spreads. We use three types of industry risk variables in our empirical analysis: distress exposure measure, industry condition, and product market competition. After controlling for common bond-level, firm-level, and macroeconomic variables, the empirical results reveal significant relationships between these industry-level risk measures and bond yield spreads. Our evidence supports that industry-related risk does play an important role in explaining bond yield spreads.

Keywords: Distress exposure measure; Distress risk; Product market competition; Industry risk; Exposure CoVaR (search for similar items in EconPapers)
JEL-codes: G12 G32 G33 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11156-019-00869-6

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