Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56318
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dc.contributor.authorEricsson, Janen_US
dc.contributor.authorReneby, Joelen_US
dc.date.accessioned2012-03-28T13:10:07Z-
dc.date.available2012-03-28T13:10:07Z-
dc.date.issued2001en_US
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_US
dc.language.isoengen_US
dc.publisher|aEkonomiska Forskningsinst. |cStockholmen_US
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x445en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordcorporate bondsen_US
dc.subject.keywordcredit risken_US
dc.subject.keywordyield spreadsen_US
dc.subject.keyworddefaulten_US
dc.subject.keywordstructural bond pricing modelsen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwAnleiheen_US
dc.subject.stwIndustrieen_US
dc.subject.stwUSAen_US
dc.titleThe valuation of corporate liabilities: Theory and testsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn333196228en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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