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| Author: | Collin-Dufresne, P. Goldstein, R. S. Martin, J. S. |
| Title: | The determinants of credit spread changes |
| Journal: | Journal of Finance
2001 : DEC, VOL. 56:6, p. 2177-2207 |
| Index terms: | BOND MARKETS |
| Freeterms: | CREDIT SPREAD CHANGES |
| Language: | eng |
| Abstract: | Using dealer's quotes and transactions prices on straight industrial bonds, the authors investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residurals from this regression are highly cross-correlated, and principal components analysis implies they are mostly driven by a single common factor. |
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