Wei, David Guoming and Dajiang Guo, 1997, "Pricing Risky Debt: An Empirical Comparison of the Longsta# and Schwartz and Merton Models", Journal of Fixed Income, September, 9-28. Home/Search Document Details and Download
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....imply a counterfactually low credit spreads for short maturity defaultable bonds. On the other hand, Collins Dufresne and Goldstein #1999# have shown that the structural models in the one factor class have undesirable long run yield properties. Furthermore, Jones, Mason, and Rosenfeld #1984#, Wei and Guo #1997# and Eom, Helwege, and Huang #2000# present evidence rejecting such models. In summary, our focus is on reduced form default risk models with identi#able economic factors that mayormay not be tradable. 3 The Data on Defaultable Coupon Bonds The data for the study is merged from several sources. ....
Wei, D., and D. Guo, 1997, #Pricing risky debt: An empirical comparison of the Longsta# and Schwartz and Merton models," Journal of Fixed Income, September, 8#28.
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Wei, David Guoming and Dajiang Guo, 1997, "Pricing Risky Debt: An Empirical Comparison of the Longsta# and Schwartz and Merton Models", Journal of Fixed Income, September, 9-28.
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