Distress risk, product market competition, and corporate bond yield spreads

Han-Hsing Lee*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

The purpose of this paper is to examine whether industry-level risk affects corporate bond yield spreads. We use three types of industry risk variables in our empirical analysis: distress exposure measure, industry condition, and product market competition. After controlling for common bond-level, firm-level, and macroeconomic variables, the empirical results reveal significant relationships between these industry-level risk measures and bond yield spreads. Our evidence supports that industry-related risk does play an important role in explaining bond yield spreads.

Original languageEnglish
Pages (from-to)1093-1135
Number of pages43
JournalReview of Quantitative Finance and Accounting
Volume55
Issue number3
DOIs
StatePublished - 1 Oct 2020

Keywords

  • Distress exposure measure
  • Distress risk
  • Exposure CoVaR
  • Industry risk
  • Product market competition

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