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- DescriptionCredit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroecomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
- Author BiographyArne Wilkes studied business administration at the WHU - Otto Beisheim School of Management and obtained his doctoral degree at the European Business School (EBS). Today, he works as a consultant at a management consultant firm.
- Author(s)Arne Wilkes
- PublisherPeter Lang GmbH
- Date of Publication01/09/2011
- SubjectEconomics: Professional & General
- Series TitleCorporate Finance and Governance
- Series Part/Volume Number6
- Place of PublicationFrankfurt am Main
- Country of PublicationGermany
- First Published2011
- ImprintPeter Lang GmbH
- Content Note99, tables and graphs
- Weight290 g
- Width148 mm
- Height210 mm
- Edition Statement1st New edition
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