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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2108/297
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| Title: | The determinants of option adjusted delta credit spreads: a comparative analysis on US, UK and the Eurozone |
| Authors: | Becchetti, Leonardo
Carpentieri, Andrea
Hasan, Iftekhar |
| Issue Date: | Oct-2006 |
| Publisher: | CEIS |
| Series/Report no.: | Quaderni CEIS; 241 |
| Abstract: | We analyse the determinants of the variation of option adjusted credit spreads (OASs) on a unique database which enlarges the traditional scope of the analysis to more
disaggregated indexes (combining industry, grade and maturity levels), new variables
(volumes of sales and purchases of institutional investors) and additional markets (UK and the Eurozone). With our extended set of regressors we explain almost half of the variability of OASs and we find evidence of the significant impact of institutional investors purchases and sales on corporate bond risk. We also find that US business cycle indicators significantly affect the variability of OASs in the UK and in the Eurozone. |
| URI: | http://hdl.handle.net/2108/297 |
| Appears in Collections: | Quaderni
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