In this paper, using China's risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China's...

This study investigates how equity trading activity dynamically responds to credit spread shock. Based on the analysis of monthly data from 1925M1 to 2013M7, equity trading activity, using share volume turnover as a proxy, significantly drops following the shock to credit spread. The results...

Despite high spread volatility, investment-grade credit portfolios have generated an average annual spread premium (returns net of U.S. Treasury returns and defaults) of 48 bps over the past 20 years. The authors show that relaxing a common portfolio constraint that requires selling downgraded...

This study empirically tested whether pension information derived from accounting disclosures is priced in corporate bond spreads. The model was tested on corporate bond data of U.S. companies for the 2001-04 period. Unfunded pension liabilities are incorporated in credit spreads, and the...

We examine how regulatory uncertainty impacts the credit spreads of covered bonds issued by U.S. domiciled banks. Using data on covered bonds issued by Washington Mutual and Bank of America, for the September 2006 to December 2016 period, we find that investors require an incremental spread that...

We find that Federal Open Market Committee (FOMC) actions (especially rate cuts) narrowed corporate credit spreads during the pre-crisis period of 2002-2007. During the 2008 crisis period, we find that both conventional cuts and quantitative easing decreased spreads. But FOMC inactions caused...

We ask whether a standard structural model (Black and Cox (1976)) is able to explain credit spreads on corporate bonds and, in contrast to much of the literature, we find that the model matches the level of investment grade spreads well. Model spreads for speculative grade debt are too low and...