EconPapers    
Economics at your fingertips  
 

Valuing Corporate Liabilities

Jan Ericsson and Joel Reneby ()
Additional contact information
Joel Reneby: Stockholm School of Economics

No 15, SIFR Research Report Series from Institute for Financial Research

Abstract: We implement a structural bond pricing framework on a large panel of US industrial issues using an efficient maximum likelihood methodology. Although, like others before us, we underpredict yield spread levels when using only stock market data in the estimation, our errors are much less dispersed. In addition, we show that when our model underpredicts spreads, the errors are correlated with liquidity proxies, suggesting that an underestimation of total yield spreads may be economically plausible. When we include bond price information in our estimation, our errors become similar in magnitude to those found in recent implementations of reduced form models.

Keywords: Contingent claims; Structural models; Credit risk; Credit spreads; Liquidity premiums (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Pages: 66 pages
Date: 2003-06-15
New Economics Papers: this item is included in nep-cfn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sifr.org/PDFs/erre.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

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:hhs:sifrwp:0015

Access Statistics for this paper

More papers in SIFR Research Report Series from Institute for Financial Research Institute for Financial Research Drottninggatan 89, SE-113 60 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Anki Helmer ().

 
Page updated 2024-11-08
Handle: RePEc:hhs:sifrwp:0015