Industry Risk and Corporate Bond Yield Spreads
碩士 === 國立交通大學 === 財務金融研究所 === 101 === Previous studies in literature indicate that a firm’s exposure to industry downturns is an important factor for line of credit, loans pricing and recovery rate. The purpose of this paper is to examine whether industry risk is significant in explaining bond yield...
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| Format: | Others |
| Language: | en_US |
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2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/09942334849162406732 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 101 === Previous studies in literature indicate that a firm’s exposure to industry downturns is an important factor for line of credit, loans pricing and recovery rate. The purpose of this paper is to examine whether industry risk is significant in explaining bond yield spreads. We use three industry risk measures in our analysis. The first industry measure is the unlevered industry beta. The two tail risk measures are incorporated to account for the higher correlation of firms in the industry downturn: the correlations between the firm and industry returns conditional on the industry downturn and the marginal distress estimate (MDE) measure (Acharya, Pedersen, and Philoppon, 2010). The empirical results across different credit ratings reveal significant relationships between two tail risk measures of industry risk and bond yield spreads. Our evidence supports that industry risk play an important role in explaining bond yield spreads.
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