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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/297

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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