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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ndltd-TW-101NCTU53040512016-07-02T04:20:28Z http://ndltd.ncl.edu.tw/handle/09942334849162406732 Industry Risk and Corporate Bond Yield Spreads 產業風險與公司債利差 Kuo, I-Neng 郭奕礽 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. Lee, Han-Hsing 李漢星 2013 學位論文 ; thesis 28 en_US |
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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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Lee, Han-Hsing |
author_facet |
Lee, Han-Hsing Kuo, I-Neng 郭奕礽 |
author |
Kuo, I-Neng 郭奕礽 |
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Kuo, I-Neng 郭奕礽 Industry Risk and Corporate Bond Yield Spreads |
author_sort |
Kuo, I-Neng |
title |
Industry Risk and Corporate Bond Yield Spreads |
title_short |
Industry Risk and Corporate Bond Yield Spreads |
title_full |
Industry Risk and Corporate Bond Yield Spreads |
title_fullStr |
Industry Risk and Corporate Bond Yield Spreads |
title_full_unstemmed |
Industry Risk and Corporate Bond Yield Spreads |
title_sort |
industry risk and corporate bond yield spreads |
publishDate |
2013 |
url |
http://ndltd.ncl.edu.tw/handle/09942334849162406732 |
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