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Term Structures Of Corporate Bond Yields As A Function Of Risk Of Default

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  • Ramon E. Johnson

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  • Ramon E. Johnson, 1967. "Term Structures Of Corporate Bond Yields As A Function Of Risk Of Default," Journal of Finance, American Finance Association, vol. 22(2), pages 313-345, May.
    • Handle: RePEc:bla:jfinan:v:22:y:1967:i:2:p:313-345
    DOI: j.1540-6261.1967.tb00016.x
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    Cited by:

    1. Md Hamid Uddin & Sarkar H. Kabir & Mohammad Kabir Hassan & Mohammed S. Hossain & Jia Liu, 2022. "Why do sukuks (Islamic bonds) need a different pricing model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2210-2234, April.
    2. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 243-253.
    3. Díaz, Antonio & Escribano, Ana, 2021. "Sustainability premium in energy bonds," Energy Economics, Elsevier, vol. 95(C).
    4. Marco Sorge & Blaise Gadanecz, 2004. "The term structure of credit spreads in project finance," BIS Working Papers 159, Bank for International Settlements.
    5. Murphy, Austin, 2003. "An empirical analysis of the structure of credit risk premiums in the Eurobond market," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 865-885, November.
    6. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    7. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers) 0304, Department of Economics - dECON.
    8. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2022. "The credit spread curve distribution and economic fluctuations in Japan," Journal of International Money and Finance, Elsevier, vol. 122(C).
    9. Geetajali Bali & Frank Skinner, 2003. "The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macreoconomic Conditions," ICMA Centre Discussion Papers in Finance icma-dp2003-01, Henley Business School, University of Reading.
    10. David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee & Cailey Stevens, 2017. "Take it to the Limit : The Debt Ceiling and Treasury Yields," Finance and Economics Discussion Series 2017-052, Board of Governors of the Federal Reserve System (U.S.).
    11. David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee, 2020. "Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Recent Debt Limit Impasses," Finance and Economics Discussion Series 2020-008, Board of Governors of the Federal Reserve System (U.S.).
    12. Edward J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 1999. "Explaining the Rate Spread on Corporate Bonds," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-082, New York University, Leonard N. Stern School of Business-.
    13. Manzoni, Katiuscia, 2002. "Modeling credit spreads: An application to the sterling Eurobond market," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 183-218.
    14. Avino, Davide & Lazar, Emese & Varotto, Simone, 2013. "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.
    15. Brown, Alessio J. G. & Žarnić, Žiga, 2003. "Explaining the increased German credit spread: The role of supply factors," Kiel Advanced Studies Working Papers 412, Kiel Institute for the World Economy (IfW Kiel).
    16. Khaled Amira, 2004. "Determinants of Sovereign Eurobonds Yield Spread," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 795-821, June.
    17. Moraux, Franck, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 47-61.
    18. Thomas H. McInish, 1980. "The Determinants Of Municipal Bond Risk Premiums By Maturity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 129-138, June.
    19. James W. Kolari, 1987. "An Analytical Model Of Risky Yield Curves," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 295-303, December.

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