頁籤選單縮合
題 名 | A Note on Sector, Rating, and Maturity Effects on Risk Premia |
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作 者 | Drakos, Konstantinos; | 書刊名 | International Journal of Business and Economics |
卷 期 | 3:3 民93.12 |
頁 次 | 頁201-216 |
分類號 | 563.54 |
關鍵詞 | Corporate yields; Maturity; Principal components; Rating; Sector; |
語 文 | 英文(English) |
英文摘要 | Focusing on a set of investment grade corporate yields covering four industries, three maturities, and four ratings, principal components analysis is employed in order to estimate the number of common factors that account for their sample covariance structure. The empirical findings suggest that a two-factor representation is statistically acceptable, a finding consistent with previous research as well as with existing theoretical models. Furthermore, we explore the role of rating, maturity, and sector in explaining cross-sectional differences across investment grade yields’ risk premia. We conclude that these factors account for a large and significant part of the observed variation. Additionally, we are able to estimate the quantitative effect of these factors on the risk premium embodied in credit spreads. |
本系統中英文摘要資訊取自各篇刊載內容。