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Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads.
- Source :
- Journal of Finance (Wiley-Blackwell); Oct2007, Vol. 62 Issue 5, p2303-2328, 26p, 8 Charts, 3 Graphs
- Publication Year :
- 2007
-
Abstract
- Employing a comprehensive database on transactions of commercial paper issued by domestic U.S. nonfinancial corporations, we study the determinants of very short-term corporate yield spreads. We find that liquidity plays a role in the determination of spreads but, somewhat surprisingly, credit quality is the more important determinant of spreads, even at horizons of less than 1 month. These results are robust across a variety of proxies for liquidity and credit risk, and have important implications for the literature on the modeling of corporate bond prices. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221082
- Volume :
- 62
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Journal of Finance (Wiley-Blackwell)
- Publication Type :
- Academic Journal
- Accession number :
- 26438955
- Full Text :
- https://doi.org/10.1111/j.1540-6261.2007.01276.x