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Yield spread and term to maturity: Default vs. liquidity (2002)
| Venue: | European Financial Management |
| Citations: | 5 - 0 self |
BibTeX
@ARTICLE{Díaz02yieldspread,
author = {Antonio Díaz and Eliseo Navarro and Juan Nave},
title = {Yield spread and term to maturity: Default vs. liquidity},
journal = {European Financial Management},
year = {2002},
pages = {449--477}
}
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Abstract
The aim of this paper is the analysis of the yield spreads between Treasury and non-Treasury Spanish fixed income assets and its relationship with the term to maturity. We find a downward sloping term structure of yield spreads for investmentgrade bonds that seems to be contrary to the “crisis at maturity ” theory. However, we claim that this outcome is caused mainly by the effect of liquidity on yield spreads. Once the effect of liquidity and other factors are removed we find that there is a positive relationship between default premiums and term to maturity. That result is now consistent with the existing literature.
