Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56318 
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dc.contributor.authorEricsson, Janen
dc.contributor.authorReneby, Joelen
dc.date.accessioned2012-03-28T13:10:07Z-
dc.date.available2012-03-28T13:10:07Z-
dc.date.issued2001-
dc.identifier.urihttp://hdl.handle.net/10419/56318-
dc.description.abstractWe develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than those found in previous implementations of structural as well as reduced form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity component on top of the default spread structural models are designed to capture.en
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x445en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordcorporate bondsen
dc.subject.keywordcredit risken
dc.subject.keywordyield spreadsen
dc.subject.keyworddefaulten
dc.subject.keywordstructural bond pricing modelsen
dc.subject.stwOptionspreistheorieen
dc.subject.stwAnleiheen
dc.subject.stwIndustrieen
dc.subject.stwUSAen
dc.titleThe valuation of corporate liabilities: Theory and tests-
dc.typeWorking Paperen
dc.identifier.ppn333196228en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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