Determinants of Credit Spreads - An Empirical Analysis for the European Corporate Bond Market

by Arne Wilkes
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Arne Wilkes Determinants of Credit Spreads - An Empirical Analysis for the European Corporate Bond Market
Arne Wilkes - Determinants of Credit Spreads - An Empirical Analysis for the European Corporate Bond Market

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Description

Credit 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 macroeconomic 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.

Contributors

Author:
Arne Wilkes

Further information

Illustrations Note:
num. tables and graphs
Table of Contents:
URL◌https://api.vlb.de/api/v1/asset/mmo/file/549c30c3-fd4a-4294-ac8c-68e0ed62a12e
Thesis Type:
Doctoral Thesis
Media Type:
Hardcover
Publisher:
Peter Lang GmbH, Internationaler Verlag der Wissenschaften
Biography Artist:
Arne 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.
Language:
English
Edition:
1
Number of Pages:
138

Master Data

Product Type:
Hardback book
Release date:
1 September 2011
Package Dimensions:
0.222 x 0.159 x 0.013 m; 0.29 kg
GTIN:
09783631606049
DUIN:
G5EIF88S7HS
£29.85
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