Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/147477
Title: DETERMINANTS OF THE CHANGES IN CREDIT SPREADS AND CORPORATE BOND YIELDS OVER THE BOND’S LIFE CYCLE
Authors: DUONG QUYNH PHUONG
Issue Date: 2009
Citation: DUONG QUYNH PHUONG (2009). DETERMINANTS OF THE CHANGES IN CREDIT SPREADS AND CORPORATE BOND YIELDS OVER THE BOND’S LIFE CYCLE. ScholarBank@NUS Repository.
Abstract: This paper aims to first extend Bebendo, Cathcart and El-Jahel (2004)’s analysis of the shape of credit spread term structure to a longer sample period from 1994 to 2007 and then study the determinants of the changes in credit spread and bond yield over seven 12- month periods in the bond’s life, namely 10 to 9, 9 to 8, 8 to 7 and so on up to 4 to 3 year-tomaturity. I find that the bond’s age and seniority at the beginning term to maturity ares not significant while rating changes, initial rating and the Treasury level and slope are consistently significant determinants of credit spread and yield changes in all the seven stages of the bond’s life cycle. Most importantly, the beginning term to maturity is found to have a significant positive relationship with the credit spread and yield changes over the subsequent 12 months, which implies that all else constant, the credit spread and yield tend to increase over the bond’s life but at a decreasing rate.
URI: http://scholarbank.nus.edu.sg/handle/10635/147477
Appears in Collections:Bachelor's Theses

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