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Corporate Yield Spreads: Default Risk or Liquidity New Evidence from the Credit Default Swap Market

Introduction. How are corporate bonds priced in the market?In theory, corporate spreads should be fully explained by default risk.In practice, many studies find that default risk only explains a small (5 to 25 %) fraction of corporate spreads.. Introduction. We use the information in credit-defaul

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Corporate Yield Spreads: Default Risk or Liquidity New Evidence from the Credit Default Swap Market

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