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

Show full item record

Title: The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area
ISBN: 978-952-462-556-2
978-952-462-557-9
Author: Becchetti, Leonardo ; Carpentieri, Andrea ; Hasan, Iftekhar
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2009
Series number: 34/2009
Year of publication: 2009
Publication date: 1.12.2009
Published in: Published in European Financial Management, Volume 18, Issue 2, March 2012; 183-217
DOI: 10.1111/j.1468-036X.2009.00527.x
Pages: 78 s.
Keywords: osakkeet; osakemarkkinat; likviditeetti; indeksit; hinnat; tuotot; indikaattorit; USA; Iso-Britannia; euroalue; optiot; luotot; korot; riskit; joukkovelkakirjat; yritykset; instituutiot; sijoittajat; suhdanteet; korkoerot; CDS
Abstract: 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.
Rights: https://helda.helsinki.fi/bof/copyright


Files in this item

Total number of downloads: Loading...

Files Size Format View
164770.pdf 1.043Mb PDF View/Open

This item appears in the following Collection(s)

Show full item record