What causes mean reversion in corporate bond index spreads? The impact of survival

No abstract is available for this paper.

• Publication year

  2005

• Venue

  Journal of Banking and Finance

• Publication date

  2005-06-01

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/J.JBANKFIN.2004.04.003
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Survival

  2004cited by this paper
• Corporate Bond Spreads and the Business Cycle

  2002cited by this paper
• The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis

  2002cited by this paper
• Survival Bias and the Equity Premium Puzzle

  2002cited by this paper
• The Determinants of Credit Spread Changes

  2001influential reference
• Explaining the Rate Spread on Corporate Bonds

  2001cited by this paper
• Corporate Bond Spreads and the Business Cycle

  2000cited by this paper
• The slope of the credit yield curve for speculative-grade issuers

  1999cited by this paper
• Liquidity in U.S. Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets

  1999cited by this paper
• Modeling term structures of defaultable bonds

  1999cited by this paper
• Transition Densities for Interest Rate and Other Nonlinear Diffusions

  1999cited by this paper
• A Parametric Nonlinear Model of Term Structure Dynamics

  1999cited by this paper
• Corporate Bond Trading Costs and Practices: A Peek Behind the Curtain

  1998cited by this paper
• Pricing the risks of default

  1998cited by this paper
• The relation between Treasury yields and corporate bond yield spreads

  1998cited by this paper
• Systematic Risk in Corporate Bond Credit Spreads

  1998cited by this paper
• A Markov Model for the Term Structure of Credit Risk Spreads

  1997cited by this paper
• 1 Econometric evaluation of asset pricing models

  1996cited by this paper
• Estimating the Price of Default Risk

  1996influential reference
• Firm-specific information and the correlation between individual stocks and bonds

  1996cited by this paper
• 2 Instrumental variables estimation of conditional beta pricing models

  1996cited by this paper
• A Longer Look at Dividend Yields

  1995cited by this paper
• Pricing Derivatives on Financial Securities Subject to Credit Risk

  1995cited by this paper
• Predictable Risk and Returns in Emerging Markets

  1995cited by this paper
• Using Default Rates to Model the Term Structure of Credit Risk

  1994cited by this paper
• Common risk factors in the returns on stocks and bonds

  1993cited by this paper
• Dynamic Asset Pricing Theory

  1992cited by this paper
• The Investment Performance of Low‐grade Bond Funds

  1991cited by this paper
• Returns and Volatility of Low-Grade Bonds 1977–1989

  1991cited by this paper
• On the Predictive Power of Interest Rates and Interest Rate Spreads

  1990cited by this paper
• BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS

  1989cited by this paper
• [New Indexes of Coincident and Leading Economic Indicators]: Comment

  1989cited by this paper
• Predicting returns in the stock and bond markets

  1986cited by this paper
• Economic Forces and the Stock Market

  1986cited by this paper
• The Theory Of Stochastic Processes

  1977cited by this paper
• The Pricing of Options and Corporate Liabilities

  1973cited by this paper

• ESG Thematic Bonds in Emerging Markets: Risk, Uncertainty, and Ambiguity

  2025cites this paper
• Media-based climate risks and international corporate bond market

  2024cites this paper
• Long-Term Capital Market Assumptions Fixed Income

  2024cites this paper
• Trees Do Not Grow to the Sky: Reversals in a Stock Market

  2018cites this paper
• Treasury Yields and Credit Spread Dynamics: A Regime-Switching Approach

  2016cites this paper
• Issuer Quality and Corporate Bond Returns

  2013cites this paper
• The Use of Credit Default Swaps in Fund Tournaments

  2012influential citation
• The Effect of Monetary Policy on Credit Spreads

  2012cites this paper
• On Life Settlement Pricing

  2011cites this paper
• Essays on bond exchange-traded funds

  2011cites this paper
• Life Settlement Pricing

  2011cites this paper
• On Death Bond Pricing

  2010cites this paper
• The Use of Credit Default Swaps by U.S. Fixed-Income Mutual Funds

  2010cites this paper
• Stochastic modelling in bank management and optimization of bank asset allocation

  2009cites this paper
• Predicting default probability and the default recovery ratio: evidence from the Lebanese external public debt

  2009cites this paper
• THE DESIGN OF RETIREMENT SCHEMES: POSSIBILITIES AND IMPERATIVES

  2008cites this paper
• ■ ■ ■ La dette publique libanaise : Anticipation de défaut de l'Etat libanais sur la dette souveraine en devises étrangères

  2008cites this paper
• The dynamics of short- and long-term CDS-spreads of banks

  2008cites this paper