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The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area

Listed author(s):
  • Becchetti, Leonardo
  • Carpentieri, Andrea
  • Hasan, Iftekhar

We analyse the determinants of the variation of option-adjusted credit spreads (OASs) on a unique database that enlarges the traditional scope of analysis to more disaggregated indexes (combining industry, grade and maturity levels), new variables (volumes of sales and purchases of institutional investors) and a complete set of markets (besides the United States, the United Kingdom and the euro area). With our extended set of regressors we explain almost half of the variability of OASs and find evidence of a significant impact of institutional investors purchases and sales on corporate bond risk. We also find that US business cycle indicators significantly affect the variability of OASs in the United Kingdom and the euro area.

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File URL: https://helda.helsinki.fi/bof/bitstream/123456789/7432/1/164770.pdf
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Paper provided by Bank of Finland in its series Research Discussion Papers with number 34/2009.

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Date of creation: 2009
Publication status: Published in Published in European Financial Management, Volume 18, Issue 2, March 2012; 183-217
Handle: RePEc:bof:bofrdp:2009_034
Contact details of provider: Postal:
Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland

Web page: http://www.suomenpankki.fi/en/

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