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Distress risk, product market competition, and corporate bond yield spreads

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  • Han-Hsing Lee

    (National Chiao Tung University)

Abstract

The purpose of this paper is to examine whether industry-level risk affects corporate bond yield spreads. We use three types of industry risk variables in our empirical analysis: distress exposure measure, industry condition, and product market competition. After controlling for common bond-level, firm-level, and macroeconomic variables, the empirical results reveal significant relationships between these industry-level risk measures and bond yield spreads. Our evidence supports that industry-related risk does play an important role in explaining bond yield spreads.

Suggested Citation

  • Han-Hsing Lee, 2020. "Distress risk, product market competition, and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 1093-1135, October.
    • Handle: RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-019-00869-6
    DOI: 10.1007/s11156-019-00869-6
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    2. Jing Wang & Wei Li & Arno Forst, 2021. "Product market competition, stock price informativeness, and IFRS adoption: evidence from Europe," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1537-1559, May.

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    More about this item

    Keywords

    Distress exposure measure; Distress risk; Product market competition; Industry risk; Exposure CoVaR;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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