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21.
Sheen Liu Jian Shi Junbo Wang Chunchi Wu 《The Quarterly Review of Economics and Finance》2009,49(1):85-109
Previous studies have found that common factors explain a high proportion of corporate bond yields. In this paper, we test whether there is a systematic risk premium beyond that implied by a risk-neutral term structure model. We propose a reduced-form term structure model that incorporates both default and tax effects. After controlling the effects of personal taxes and default risk, empirical tests show that at least two of the Fama–French factors are important for corporate bond yields. Our results suggest that term structure models should incorporate aggregate common risk factors in order to better explain the dynamics of corporate bond yields. 相似文献
22.
This paper examines the effects of default risk, call risk, and their interactions on bond duration. We find that call risk decreases durations of default-free bonds, while default risk alone generally decreases durations for risky bonds with only a few exceptions. The joint effect of default and call risk always results in shorter durations for corporate bonds. Controlling for the effect of default risk, call risk has a negative effect on duration, which diminishes as bond ratings decline. Finally, the effect of call risk on duration depends on bond characteristics. Empirical evidence shows that the effect of call risk is smaller for discount bonds and for deep-discount fallen angels. 相似文献
23.
Karen A. Jehn Lindred Greer Sheen Levine Gabriel Szulanski 《Group Decision and Negotiation》2008,17(6):465-495
In this study, we examine three types of conflict (task, relationship, and process) and four dimensions of conflict (emotions,
norms, resolution efficacy, and importance) in decision making groups. We also investigate emergent states (e.g., trust, respect,
cohesiveness; Marks et al. 2001; Acad Manag Rev 26: 530–547) as mediating the effects of the conflict types and dimensions
on group outcomes (productivity and viability). All three types of conflict decreased positive emergent states in groups and
this led to a decrease in group viability (the ability of a team to retain its members through their satisfaction and willingness
to continue working together; Balkundi and Harrison 2006; Acad Manag J 49: 49–68). This effect was alleviated by resolution
efficacy (the belief that the conflict can be easily resolved) regarding process conflict, but could be exacerbated by any
negative emotion associated with relationship conflict. Norms that encouraged task conflict also increased positive emergent
states within groups, which marginally and positively influenced group performance. 相似文献
24.
A dynamic disequilibrium simultaneous-equation econometric model for France and West Germany is set up, estimated and simulated to consider the ways in which disequilibrium in the money markets is eliminated. The results provide suggestive evidence to support the monetary approach to the balance of payments. 相似文献
25.
The structural approach offers an integrated framework to deal with yield spreads and default probability simultaneously. However, structural models perform poorly in predicting corporate bond spreads. It is unclear whether this poor performance is caused by characteristics of individual models, missing factors, or different calibration procedures. This study evaluates the performance of four structural models by incorporating two important factors, personal taxes and the liquidity factor, and calibrating these models to data. To ensure our results are not contingent on the calibration method, we further apply the maximum likelihood estimation method to a large sample of individual bonds. Results consistently show that the ability of structural models to predict spreads improves considerably when personal taxes and liquidity are taken into account. Our findings suggest that the poor performance of standard structural models is more likely due to missing factors than the characteristics of individual models or the calibration procedure. 相似文献