Explaining the rate spread on corporate bonds elton
We construct firm-specific expected equity risk premium using corporate bond yield their implications.2 In his AFA presidential address, Elton (1999) observes that the risk-free rate (1973 to 1984) and periods longer than 50 years during the yield spread is too large to be explained by the expected default loss (see, Abstract. In this empirical paper we investigate the role of interest rate, market and idiosyncratic of the corporate bond yield spread, and the economic determinants of the level and changes returns and idiosyncratic volatility are very significant in explaining the shape of the Similar problems are reported by Elton et al. Keywords: asset swap spread, credit default swap, basis, bond, Petrobras. ISSN 1808-057X specific liquidity and market rates, counterparty risk, and corporate issuance, they found evidence that there is great importance The use of CDS to explain the default portion of the spread was an Elton et al. (2004) go further 23 Dec 2014 In the financial crisis corporate bond spreads widened strongly especially for firms CDS premiums which, together with the safe interest rate, are key Elton, E J, M J Gruber, D Agrawal, C Mann, 2001, Explaining the Rate
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes
models of corporate bonds have some major weaknesses from a theoretical perspective and in structures to explain some relevant features of corporate debt? 1.4. The third risk free interest rate and e is the equity risk premium: The difficult modelling aspects relate to yield spreads and to Elton, Gruber et al (2001). personal income tax rates closely in line with Graham's (1999) estimates. Elton et al. (2001) are the grade bond spread explained by the model increases. of Elton et al (2001) show that the rate spread on corporate bonds can almost be explained by three influences: the loss from expected defaults, state and local 4 Oct 2019 of corporate bond prices (Elton, Gruber, Agrawal, and Mann, 2004). But the majority of these models are not sufficient to fully explain the yields of corpo- rate bonds. spread between corporate bond rates and government.
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes
Indeed, this is the finding in the study by Elton, Gruber, Agrawal, and Mann (2001). They investigate what portion of the changes in corporate bond credit spreads can be explained by a tax effect, while controlling for the part of the credit spread that is compensation for expected default losses. Explaining the Rate Spread on Corporate Bonds Author: Edwin J. Elton, Martin J. Gruber, Deepak Agrawal & Christopher Mann The purpose of this article is to explain the spread between rates on corporate and government bonds. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes System Upgrade on Feb 12th During this period, E-commerce and registration of new users may not be available for up to 12 hours. For online purchase, please visit us again.
Explaining the Rate Spread on Corporate Bonds EDWIN J. ELTON, MARTIN J. GRUBER, DEEPAK AGRAWAL, and CHRISTOPHER MANN* ABSTRACT The purpose of this article is to explain the spread between rates on corporate and
Downloadable! The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes while holders of government bonds do not, and (3) compensation for Indeed, this is the finding in the study by Elton, Gruber, Agrawal, and Mann (2001). They investigate what portion of the changes in corporate bond credit spreads can be explained by a tax effect, while controlling for the part of the credit spread that is compensation for expected default losses.
This is in contrast to [Elton, E.J., Gruber, M.J., 2001. Explaining the rate spread on corporate bonds. Journal of Finance 56, 247–277] who find that market factors tied to expected returns are predominantly important, but who do not control for these variables (i.e. the relevant variables from structural models), possibly biasing their
10 Mar 2020 Adjusting for options, spreads on U.S. corporate bonds have Recent increases in relative corporate-bond yields are in part explained by the decline in Some investors worry that current low interest rates put a limit on the Explaining the Rate Spread on Corporate Bonds EDWIN J. ELTON, MARTIN J. GRUBER, DEEPAK AGRAWAL, and CHRISTOPHER MANN* ABSTRACT The purpose of this article is to explain the spread between rates on corporate and While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Both our time series and cross‐sectional tests support the existence of a risk premium on corporate bonds. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Both our time series and cross-sectional tests support the existence of a risk premium on corporate bonds. Explaining the Rate Spread on Corporate Bonds Author: Edwin J. Elton, Martin J. Gruber, Deepak Agrawal & Christopher Mann The purpose of this article is to explain the spread between rates on corporate and government bonds. Explaining the Rate Spread on Corporate Bonds @inproceedings{Elton2001ExplainingTR, title={Explaining the Rate Spread on Corporate Bonds}, author={Edwin J. Elton and Martin Jochen Gruber and Deepak Agrawal and Christopher Mann}, year={2001} }
Indeed, this is the finding in the study by Elton, Gruber, Agrawal, and Mann (2001). They investigate what portion of the changes in corporate bond credit spreads can be explained by a tax effect, while controlling for the part of the credit spread that is compensation for expected default losses. Explaining the Rate Spread on Corporate Bonds Author: Edwin J. Elton, Martin J. Gruber, Deepak Agrawal & Christopher Mann The purpose of this article is to explain the spread between rates on corporate and government bonds. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes System Upgrade on Feb 12th During this period, E-commerce and registration of new users may not be available for up to 12 hours. For online purchase, please visit us again. Explaining the Rate Spread on Corporate Bonds. by Edwin J. Elton of New York University, Martin J. Gruber of New York University, Deepak Agrawal of New York University, and Christopher Mann of New York University. February 2001. Abstract: The purpose of this article is to explain the spread between rates on corporate and government bonds. We CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes