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Identifier to cite or link to this item: https://hdl.handle.net/10086/29229

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Title
The determinants of option adjusted delta credit spreads: A comparative analysis on US, UK and the Eurozone
Creator
Creator Name
Becchetti, Leonardo Becchetti, Leonardo
Affiliation
Affiliation Name
Università Tor Vergata, Roma, Facoltà di Economia, Dipartimento di Economia e Istituzioni
Creator Name
Carpentieri, Andrea Carpentieri, Andrea
Affiliation
Affiliation Name
Nextra Investment Management
Università Tor Vergata, Facoltà di Economia
Creator Name
Hasan, Iftekhar Hasan, Iftekhar
Affiliation
Affiliation Name
Rensselaer Polytechnic Institute
Bank of Finland
Editor
Contributor Name
Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University
Affiliation
Affiliation Name
Institute of Economic Research, Hitotsubashi University
Abstract
We analyse the determinants of the variation of option adjusted credit spreads (OASs) on a unique database which enlarges the traditional scope of the 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 (beside US, UK and the Eurozone). With our extended set of regressors we explain almost half of the variability of OASs and we find evidence of the 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 UK and in the Eurozone.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2009-11
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
CEI Working Paper Series ; No. 2009-10
Relation
Related Identifier
URI
  http://cei.ier.hit-u.ac.jp/English/index.html
NCID
AA11590659
Number of Pages
68
Appears in Collections
CEI Working Paper Series
URL
https://hdl.handle.net/10086/29229