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Interest Rates, Stock Returns, and Credit Spreads
Niklas Wagner
Warren P. Hogan
Jonathan A. Batten
其他書名
Evidence from German Eurobonds
出版
SSRN
, 2008
URL
http://books.google.com.hk/books?id=Xv3fzwEACAAJ&hl=&source=gbs_api
註釋
We investigate daily variations in credit spreads on investment grade Deutschemark-denominated Eurobonds during the challenging 1994 to 1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate strong persistence in spread changes. Consistent with theory and previous findings, changes in spreads are significantly negatively related to the term structure level while, contrary to theory, the proxy for asset value does not yield a significant negative contribution. We even find a significant positive relation for Eurobonds with long maturity and interpret this as consistent with portfolio rebalancing activities (where long maturity high quality bonds are sold for stocks) or with factor risk premiums on corporate bonds, which may temporarily dominate default risk.
