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Determinants of Corporate Bond Yield : Unconditional and Conditional Effect of Liquidity Premium : 회사채 수익 결정요인에 관한 연구: 유동성 프리미엄 효과
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 조성욱 | - |
| dc.contributor.author | 손지호 | - |
| dc.date.accessioned | 2017-07-14T05:16:04Z | - |
| dc.date.available | 2017-07-14T05:16:04Z | - |
| dc.date.issued | 2015-02 | - |
| dc.identifier.other | 000000026811 | - |
| dc.identifier.uri | https://hdl.handle.net/10371/124591 | - |
| dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. 조성욱. | - |
| dc.description.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. | - |
| dc.description.tableofcontents | 1. Introduction
2. Literature review 3. Data and methodology 4. Test of unconditional liquidity premium 4.1. Validity of Longstaff et al. (2005) measures 4.2. Information content of Longstaff et al. (2005) measures 5. Test of conditional liquidity premium 6. Conclusion | - |
| dc.format | application/pdf | - |
| dc.format.extent | 481638 bytes | - |
| dc.format.medium | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | 서울대학교 대학원 | - |
| dc.subject | Liquidity premium | - |
| dc.subject | Markov Regime switching model | - |
| dc.subject.ddc | 658 | - |
| dc.title | Determinants of Corporate Bond Yield : Unconditional and Conditional Effect of Liquidity Premium | - |
| dc.title.alternative | 회사채 수익 결정요인에 관한 연구: 유동성 프리미엄 효과 | - |
| dc.type | Thesis | - |
| dc.description.degree | Master | - |
| dc.citation.pages | 29 | - |
| dc.contributor.affiliation | 경영대학 경영학과 | - |
| dc.date.awarded | 2015-02 | - |
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