Picture of athlete cycling

Open Access research with a real impact on health...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the Physical Activity for Health Group based within the School of Psychological Sciences & Health. Research here seeks to better understand how and why physical activity improves health, gain a better understanding of the amount, intensity, and type of physical activity needed for health benefits, and evaluate the effect of interventions to promote physical activity.

Explore open research content by Physical Activity for Health...

Determinants of bond spreads: evidence from credit derivatives of Australian firms

Faff, Robert and Darwin, T and Treepongkaruna, S (2012) Determinants of bond spreads: evidence from credit derivatives of Australian firms. Australian Journal of Management, 37 (1). pp. 29-46. ISSN 0312-8962

Full text not available in this repository. Request a copy from the Strathclyde author

Abstract

This paper investigates the determinants of credit spreads (levels and changes) via credit derivatives, using an Australian sample. We incorporate a number of different relationships to assess the contributions of various market-wide and firm-specific factors in determining levels, and changes in credit spreads, of corporate bonds. Using over-the-counter credit default swap (CDS) premium data as a proxy for the default risk of the entity, we find that both CDS and liquidity are priced into credit spreads, with liquidity explaining more credit spreads than credit risk (proxied using CDS premia) itself. We also find that a number of firm-specific and market-wide variables, namely, firm leverage, market-to-book ratio, market value, volatility, liquidity, the spot rate, the slope of the yield curve, the time to maturity of the underlying bond and the level and return on the All Ordinaries Index, are in many cases significant determinants of credit spreads. Finally, in additional robustness testing, a potential sample selection bias is accommodated via the Heckman (1979) Sample selection bias as a specification error.