Explaining the Rate Spread on Corporate Bonds

Deepak Agrawal and Christopher Mann

Chapter 3 in Investments and Portfolio Performance, 2010, pp 22-51 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Corporate Yield SpreadsDataMeasuring SpreadsEmpirical SpreadsFit ErrorEstimating the Default PremiumEstimating The State Tax PremiumsRisk Premiums For Systematic RiskConclusionAppendix A. Determining Yield to Maturity on Zeros (Spot Rates)Appendix B. Measuring the Default Premium in a Risk-Neutral World Without State TaxesAppendix C. Estimating the Impact of State TaxesREFERENCES

Keywords: Investments; Portfolio Management; Bond Pricing; Pension Funds; Estimating Taxes (search for similar items in EconPapers)
Date: 2010
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