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An empirical analysis of the structure of credit risk premiums in the Eurobond market

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  • Murphy, Austin

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  • 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.
    • Handle: RePEc:eee:jimfin:v:22:y:2003:i:6:p:865-885
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    1. Daves, Phillip R & Ehrhardt, Michael C, 1993. "Liquidity, Reconstitution, and the Value of U.S. Treasury Strips," Journal of Finance, American Finance Association, vol. 48(1), pages 315-329, March.
    2. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
    3. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-378, May.
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    5. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1.
    6. Sarkar, Sudipto, 2001. "Probability of call and likelihood of the call feature in a corporate bond," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 505-533, March.
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    8. Chui, Michael & Gai, Prasanna & Haldane, Andrew G., 2002. "Sovereign liquidity crises: Analytics and implications for public policy," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 519-546, March.
    9. Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    10. Murphy, Austin, 2000. "A comparative analysis of the price-process model of mortgage valuation," Review of Financial Economics, Elsevier, vol. 9(2), pages 65-82, December.
    11. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
    12. 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.
    13. Edwin J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
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    15. Fuller, Wayne A. & Battese, George E., 1974. "Estimation of linear models with crossed-error structure," Journal of Econometrics, Elsevier, vol. 2(1), pages 67-78, May.
    16. Pitts, C G C & Selby, M J P, 1983. "The Pricing of Corporate Debt: A Further Note," Journal of Finance, American Finance Association, vol. 38(4), pages 1311-1313, September.
    17. repec:bla:jfinan:v:44:y:1989:i:5:p:1351-60 is not listed on IDEAS
    18. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    19. Stulz, Rene M, 1981. "On the Effects of Barriers to International Investment," Journal of Finance, American Finance Association, vol. 36(4), pages 923-934, September.
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    Cited by:

    1. Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
    2. Purda, Lynnette D., 2005. "Mergers in the bond rating industry: does rating provider matter?," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 155-169, April.

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