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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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contributor.authorBecchetti, Leonardo-
contributor.authorCarpentieri, Andrea-
contributor.authorHasan, Iftekhar-
date.accessioned2006-11-21T14:43:28Z-
date.available2006-11-21T14:43:28Z-
date.issued2006-10-
identifier.urihttp://hdl.handle.net/2108/297-
description.abstractWe 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.en
description.tableofcontentsThe database - Descriptive statistics on the dependent variable - The determinants of option adjusted credit spreads (Interest rate variables - Stock market variables - Macroeconomic indicators - Default rates and transition matrices - Liquidity variables - The role of institutional investors) - Empirical findings on separate estimates - Empirical findings on the final selected specification for the US area - Empirical findings on the final selected specification for the UK area - Empirical findings on the final selected specification for the Euro area - Comparisons of our findings across the three markets and with the recent literature - Robustness check -en
format.extent387492 bytes-
format.mimetypeapplication/pdf-
language.isoiten
publisherCEISen
relation.ispartofseriesQuaderni CEIS; 241-
subject.classificationSECS-P/01; Economia politicaen
titleThe determinants of option adjusted delta credit spreads: a comparative analysis on US, UK and the Eurozoneen
typeArticleen
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