Midlands State University Library

Determinants of bond spreads : (Record no. 168355)

MARC details
000 -LEADER
fixed length control field 02028nam a22002657a 4500
003 - CONTROL NUMBER IDENTIFIER
control field ZW-GwMSU
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20241125083159.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 241125b |||||||| |||| 00| 0 eng d
022 ## - INTERNATIONAL STANDARD SERIAL NUMBER
International Standard Serial Number 03128962
040 ## - CATALOGING SOURCE
Original cataloging agency MSU
Language of cataloging English
Transcribing agency MSU
Description conventions rda
050 00 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HD31 AUS
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Darwin, Tristan
Relator term author
245 10 - TITLE STATEMENT
Title Determinants of bond spreads :
Remainder of title evidence from credit derivatives of Australian firms/
Statement of responsibility, etc. created by Tristan Darwin, Sirimon Treepongkaruna and Robert Faff
264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Los Angeles :
Name of producer, publisher, distributor, manufacturer Sage,
Date of production, publication, distribution, manufacture, or copyright notice 2012.
336 ## - CONTENT TYPE
Source rdacontent
Content type term text
Content type code txt
337 ## - MEDIA TYPE
Source rdamedia
Media type term unmediated
Media type code n
338 ## - CARRIER TYPE
Source rdacarrier
Carrier type term volume
Carrier type code nc
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE
Title Australian journal of management
Volume/sequential designation Volume 37, number 1
520 3# - SUMMARY, ETC.
Summary, etc. This paper investigates the determinants of credit spreads (levels and changes) via credit derivatives, using an Australian sample. We incorporate a number of different relationships to assess the contributions of various market-wide and firm-specific factors in determining levels, and changes in credit spreads, of corporate bonds. Using over-the-counter credit default swap (CDS) premium data as a proxy for the default risk of the entity, we find that both CDS and liquidity are priced into credit spreads, with liquidity explaining more credit spreads than credit risk (proxied using CDS premia) itself. We also find that a number of firm-specific and market-wide variables, namely, firm leverage, market-to-book ratio, market value, volatility, liquidity, the spot rate, the slope of the yield curve, the time to maturity of the underlying bond and the level and return on the All Ordinaries Index, are in many cases significant determinants of credit spreads. Finally, in additional robustness testing, a potential sample selection bias is accommodated via the Heckman ((1979)
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Credit default swap
Form subdivision Credit spread |
General subdivision Merton model
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Treepongkaruna, Sirimon
Relator term co author
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Faff, Robert
Relator term co author
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier https://doi.org/10.1177/0312896211416137
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme Library of Congress Classification
Koha item type Journal Article
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Home library Current library Shelving location Date acquired Serial Enumeration / chronology Total Checkouts Full call number Date last seen Price effective from Koha item type Public note
    Library of Congress Classification     Main Library Main Library - Special Collections 21/11/2013 Vol. 37, no.1 (pages 29-46)   HD31 AUS 25/11/2024 25/11/2024 Journal Article For in house use only