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“Explaining the Rate Spread on Corporate Bonds”

In: Investments And Portfolio Performance

Author

Listed:
  • Deepak Agrawal
  • Christopher Mann

Abstract

The following sections are included:Corporate Yield SpreadsDataMeasuring SpreadsEmpirical SpreadsFit ErrorEstimating the Default PremiumEstimating The State Tax PremiumsRisk Premiums For Systematic RiskConclusionAppendix A. Determining Yield to Maturity on Zeros (Spot Rates)Appendix B. Measuring the Default Premium in a Risk-Neutral World Without State TaxesAppendix C. Estimating the Impact of State TaxesREFERENCES

Suggested Citation

  • Deepak Agrawal & Christopher Mann, 2010. "“Explaining the Rate Spread on Corporate Bonds”," World Scientific Book Chapters, in: Edwin J Elton & Martin J Gruber (ed.), Investments And Portfolio Performance, chapter 3, pages 22-51, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814335409_0003
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