TY  - JOUR
AU  - Longstaff,Francis A.
AU  - Mithal,Sanjay
AU  - Neis,Eric
TI  - Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10418
PY  - 2004
Y2  - April 2004
UR  - http://www.nber.org/papers/w10418
L1  - http://www.nber.org/papers/w10418.pdf
N1  - Author contact info:
Francis Longstaff
UCLA
Anderson Graduate School of Management
110 Westwood Plaza, Box 951481
Los Angeles, CA  90095-1481
Tel: 310/825-2218
Fax: 310/206-5455
E-Mail: francis.longstaff@anderson.ucla.edu
AB  - We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond-market liquidity.
ER  -