An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings
This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing the initial yields of a set of 3,287 securities issued over eleven years in the US. We use the measure of constant maturity Treasury rates on the day of issue against the Moody’s Aaa Corporate Bond ind...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2009
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| Online Access: | https://repo.uum.edu.my/id/eprint/25086/1/IJBF%206%201%202008%20141%20160.pdf |
| _version_ | 1803628864030638080 |
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| author | Michael, Timothy S. |
| author_facet | Michael, Timothy S. |
| author_sort | Michael, Timothy S. |
| collection | UUM |
| description | This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing the initial yields of a set of 3,287 securities issued over eleven years in the US. We use the measure of constant maturity Treasury rates on the day of issue against the Moody’s Aaa Corporate Bond index for the week prior to the issue, and the yield on a daily index of long-term Treasury securities on the issue date. The influences of credit ratings and disagreement between rating agencies as reflected in split ratings and the interactions between these characteristics are measured. The contributions of sinking fund provisions, call or refunding status, overseas issue and contractual security arrangements are evaluated separately. The results support the view that the higher yields are observed when ratings of agencies differ and that factors associated with the issues also are significant drivers of the yield difference. |
| first_indexed | 2024-07-04T06:28:43Z |
| format | Article |
| id | uum-25086 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:43Z |
| publishDate | 2009 |
| publisher | Universiti Utara Malaysia |
| record_format | dspace |
| spelling | uum-250862018-10-31T00:54:39Z https://repo.uum.edu.my/id/eprint/25086/ An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings Michael, Timothy S. HG Finance This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing the initial yields of a set of 3,287 securities issued over eleven years in the US. We use the measure of constant maturity Treasury rates on the day of issue against the Moody’s Aaa Corporate Bond index for the week prior to the issue, and the yield on a daily index of long-term Treasury securities on the issue date. The influences of credit ratings and disagreement between rating agencies as reflected in split ratings and the interactions between these characteristics are measured. The contributions of sinking fund provisions, call or refunding status, overseas issue and contractual security arrangements are evaluated separately. The results support the view that the higher yields are observed when ratings of agencies differ and that factors associated with the issues also are significant drivers of the yield difference. Universiti Utara Malaysia 2009 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25086/1/IJBF%206%201%202008%20141%20160.pdf Michael, Timothy S. (2009) An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings. The International Journal of Banking and Finance, 6 (1). pp. 141-160. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/137-the-international-journal-of-banking-and-finance-ijbf-vol-6-no-1-2009 |
| spellingShingle | HG Finance Michael, Timothy S. An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings |
| title | An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings |
| title_full | An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings |
| title_fullStr | An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings |
| title_full_unstemmed | An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings |
| title_short | An Empirical Investigation of New Bond Issue Yield Spreads, Default Risk and Split Ratings |
| title_sort | empirical investigation of new bond issue yield spreads default risk and split ratings |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25086/1/IJBF%206%201%202008%20141%20160.pdf |
| work_keys_str_mv | AT michaeltimothys anempiricalinvestigationofnewbondissueyieldspreadsdefaultriskandsplitratings AT michaeltimothys empiricalinvestigationofnewbondissueyieldspreadsdefaultriskandsplitratings |