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Risk aversion and the yield of corporate debt

  • Wu, Chunchi
  • Yu, Chih-Hsien
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3VWPNVT-J/2/aa0af2d0c4183de6fc1c92f0e362a527
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 20 (1996)
    Issue (Month): 2 (March)
    Pages: 267-281

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    Handle: RePEc:eee:jbfina:v:20:y:1996:i:2:p:267-281
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Benson, Earl D & Rogowski, Robert J, 1978. "The Cyclical Behavior of Risk Spreads on New Municipal Issues," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(3), pages 348-62, August.
    2. S. Grossman & R. Shiller, . "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
    3. Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, vol. 67, pages 217.
    4. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September.
    5. Friend, Irwin & Blume, Marshall E, 1975. "The Demand for Risky Assets," American Economic Review, American Economic Association, vol. 65(5), pages 900-922, December.
    6. W. Braddock Hickman, 1958. "Index to "Corporate Bond Quality and Investor Experience"," NBER Chapters, in: Corporate Bond Quality and Investor Experience, pages 531-536 National Bureau of Economic Research, Inc.
    7. Yawitz, Jess B & Maloney, Kevin J & Ederington, Louis H, 1985. " Taxes, Default Risk, and Yield Spreads," Journal of Finance, American Finance Association, vol. 40(4), pages 1127-40, September.
    8. Rodriguez, Ricardo J., 1988. "Default Risk, Yield Spreads, and Time to Maturity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 111-117, March.
    9. Cook, Timothy Q & Hendershott, Patric H, 1978. "The Impact of Taxes, Risk and Relative Security Supplies on Interest Rate Differentials," Journal of Finance, American Finance Association, vol. 33(4), pages 1173-86, September.
    10. W. Braddock Hickman, 1958. "Corporate Bond Quality and Investor Experience," NBER Books, National Bureau of Economic Research, Inc, number hick58-1, August.
    11. Bierman, Harold & Hass, Jerome E., 1975. "An Analytical Model of Bond Risk Differentials," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(05), pages 757-773, December.
    12. Yawitz, Jess B., 1977. "An Analytical Model of Interest Rate Differentials and Different Default Recoveries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 481-490, September.
    13. Asquith, Paul & Mullins, David W, Jr & Wolff, Eric D, 1989. " Original Issue High Yield Bonds: Aging Analyses of Defaults, Exchanges, and Calls," Journal of Finance, American Finance Association, vol. 44(4), pages 923-52, September.
    14. Fons, Jerome S, 1987. " The Default Premium and Corporate Bond Experience," Journal of Finance, American Finance Association, vol. 42(1), pages 81-97, March.
    15. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
    16. Wu, Chunchi, 1991. "A Certainty Equivalent Approach to Municipal Bond Default Risk Estimation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 241-47, Fall.
    17. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
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