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Determinants of Corporate Bond Yield : Unconditional and Conditional Effect of Liquidity Premium
회사채 수익 결정요인에 관한 연구: 유동성 프리미엄 효과

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Authors
손지호
Advisor
조성욱
Major
경영대학 경영학과
Issue Date
2015-02
Publisher
서울대학교 대학원
Keywords
Liquidity premiumMarkov Regime switching model
Description
학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. 조성욱.
Abstract
This paper investigates the unconditional and conditional effects of liquidity premium on corporate bond yield spread after controlling for default premium over the period of 2007-2010. Following Longstaff, Mithal, and Neis (2005), I utilize over 15,000 CDS premium data from 28 countries to estimate default premium and 199,000 corporate bonds to estimate liquidity premium. Results show that CDS data explains significant component of corporate yield spread. I proceed to find that unconditional effect of liquidity premium is significant and robust to the inclusion of Longstaff et al. (2005) default premium factor, while conditional effect loses robustness.
Language
English
URI
http://hdl.handle.net/10371/124591
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Theses (Master's Degree_경영학과)
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