TY - GEN
TI - Is there a Independent Common Factor in the Corporate Bond Market
AB - Using dealer s quotes on straight corporate bonds we investigate changes
in the credit spread. The general idea is to explain as much of the credit
spread shocks as possible and then to analyze the remaining variation.
First we start with a first regression setup which only considers variables
that are motivated by structural models. Then a large set systematic and
common factors as well as firm specific accounting data are added and
discussed. Given the different regression models, we find that the residuals
turn out to be cross correlated and a principal component analysis
implies that they are mostly driven by a single common factor. Nonetheless,
when comparing our results to the ones from Collin-Dufresne et al.
(2001) (CDGM) we find that this single common factor lost substantially
in explanatory power, whereas certain firm specific variables as well as the
VIX gained during the last 10 years.
PY - 2009-12-01
AU - Kappel, Wolfgang
ER -