Distress risk, product market competition, and corporate bond yield spreads

Review of Quantitative Finance and Accounting - Tập 55 Số 3 - Trang 1093-1135 - 2020
Lee, Han-Hsing1
1Institute of Finance, National Chiao Tung University, Hsinchu, Taiwan

Tóm tắt

The purpose of this paper is to examine whether industry-level risk affects corporate bond yield spreads. We use three types of industry risk variables in our empirical analysis: distress exposure measure, industry condition, and product market competition. After controlling for common bond-level, firm-level, and macroeconomic variables, the empirical results reveal significant relationships between these industry-level risk measures and bond yield spreads. Our evidence supports that industry-related risk does play an important role in explaining bond yield spreads.

Tài liệu tham khảo

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