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An analysis of credit risk spreads for high yield bonds


  • Frank Reilly


  • David Wright


  • James Gentry



No abstract is available for this item.

Suggested Citation

  • Frank Reilly & David Wright & James Gentry, 2010. "An analysis of credit risk spreads for high yield bonds," Review of Quantitative Finance and Accounting, Springer, vol. 35(2), pages 179-205, August.
  • Handle: RePEc:kap:rqfnac:v:35:y:2010:i:2:p:179-205
    DOI: 10.1007/s11156-009-0162-7

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    References listed on IDEAS

    1. Kein, D.B. & Blume, M.E., 1991. "Risk and Returns of low-Grade Bonds: An Update," Weiss Center Working Papers 15-91, Wharton School - Weiss Center for International Financial Research.
    2. Frank K. Reilly & David J. Wright & James A. Gentry, 2009. "Historic Changes in the High Yield Bond Market," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(3), pages 65-79.
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    More about this item


    High yield bonds; Credit risk spreads; Default risk; Speculative grade; G01; G11; G12;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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