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 language | English |
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Pages (from-to) | 1093-1135 |
Number of pages | 43 |
Journal | Review of Quantitative Finance and Accounting |
Volume | 55 |
Issue number | 3 |
DOIs | |
State | Published - 1 Oct 2020 |
Keywords
- Distress exposure measure
- Distress risk
- Exposure CoVaR
- Industry risk
- Product market competition