文章基本信息

标题：An empirical investigation of new bond issue yield spreads, default risk and split ratings
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作者：Michael, Timothy S.
期刊名称：International Journal of Banking and Finance
出版年度：2008
卷号：6
期号：1
页码：8
出版社：Bond University
摘要：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.
关键词：yield spreads; split ratings; bond index; credit rating effect; terms of debt issues