Universität zu Köln

Essays on the Determinants of Corporate Bond Yield Spreads

Bethke, Sebastian (2016) Essays on the Determinants of Corporate Bond Yield Spreads. PhD thesis, Universität zu Köln.

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    This thesis consists of three essays on the determinants of corporate bond yield spreads. The first essay (Bethke, Gehde-Trapp, and Kempf, 2015, “Investor Sentiment, Flight-to-Quality, and Corporate Bond Comovement”) adds to the literature on the risk factors affecting corporate bond yield spreads by identifying an economic mechanism of investor sentiment driving the correlation between yield spreads through the correlation between credit risk and liquidity. The second essay (Bethke and Gehde-Trapp, 2016, “Forecasting Credit Default Swap Premiums with Google Search Volume”) contributes to the literature analyzing the determinants of credit risk by investigating whether aggregated volume of Google search queries possesses fundamental value for the CDS market. The third essay (Bethke, 2016, “Commonality in Liquidity in the US Corporate Bond Market”) adds to the literature on the determinants of corporate bond liquidity by examining the comovement of individual bonds’ liquidity with market liquidity, commonality in liquidity.

    Item Type: Thesis (PhD thesis)
    Bethke, Sebastianphdthesis@sebastian-bethke.de
    URN: urn:nbn:de:hbz:38-71277
    Subjects: Management and auxiliary services
    Uncontrolled Keywords:
    corporate bonds, yield spreads, bond correlation, risk factor correlation, flight-to-quality, investor sentiment, credit risk, credit default swap, Google search volume, liquidity, commonalityEnglish
    Faculty: Wirtschafts- u. Sozialwissenschaftliche Fakultät
    Divisions: Wirtschafts- u. Sozialwissenschaftliche Fakultät > Seminar für Allg. BWL und Finanzierungslehre
    Language: English
    Date: 2016
    Date Type: Publication
    Date of oral exam: 30 November 2016
    Full Text Status: Public
    Date Deposited: 19 Jan 2017 09:02:00
    NameAcademic Title
    Kempf, AlexanderUniv.-Prof. Dr.
    Hartmann-Wendels, ThomasUniv.-Prof. Dr.
    URI: http://kups.ub.uni-koeln.de/id/eprint/7127

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