Universität zu Köln

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

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Abstract

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)
Creators:	Creators Email ORCID ORCID Put Code Bethke, Sebastian phdthesis@sebastian-bethke.de UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-71277
Date:	2016
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Faculty of Management, Economics and Social Sciences > Business Administration > Finance > Professorship for Business Administration and Finance
Subjects:	Management and auxiliary services
Uncontrolled Keywords:	Keywords Language corporate bonds, yield spreads, bond correlation, risk factor correlation, flight-to-quality, investor sentiment, credit risk, credit default swap, Google search volume, liquidity, commonality English
Date of oral exam:	30 November 2016
Referee:	Name Academic Title Kempf, Alexander Univ.-Prof. Dr. Hartmann-Wendels, Thomas Univ.-Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/7127