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Macroeconomic Conditions, Firm Characteristics, and Credit Spreads

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  • Dragon Tang

    ()

  • Hong Yan

    ()

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File URL: http://hdl.handle.net/10.1007/s10693-006-7625-y
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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 29 (2006)
Issue (Month): 3 (June)
Pages: 177-210

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Handle: RePEc:kap:jfsres:v:29:y:2006:i:3:p:177-210

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Default risk; Macroeconomic conditions; Credit spreads; G12; G13; E43; E44;

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References

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  26. Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
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  30. Ganlin Chang, 2005. "Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default," The Journal of Business, University of Chicago Press, vol. 78(3), pages 997-1022, May.
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  32. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
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Citations

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Cited by:
  1. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, vol. 63(5), pages 412-430, September.
  2. Ruey-Ching Hwang & Huimin Chung & Jiun-Yi Ku, 2013. "Predicting Recurrent Financial Distresses with Autocorrelation Structure: An Empirical Analysis from an Emerging Market," Journal of Financial Services Research, Springer, vol. 43(3), pages 321-341, June.
  3. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank, Research Centre.
  4. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
  5. Christopher Baum & Chi Wan, 2010. "Macroeconomic uncertainty and credit default swap spreads," Applied Financial Economics, Taylor & Francis Journals, vol. 20(15), pages 1163-1171.
  6. Kwamie Dunbar, 2009. "Stochastic Business Cycle Volatilities, Capital Accumulation and Economic Growth: Lessons from the Global Credit Market Crisis," Working papers 2009-36, University of Connecticut, Department of Economics.

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