The association of default risk factors with the systematic risk of corporate bonds

Autor:	R. S. Rathinasamy, Richard M. Duvall
Rok vydání:	1993
Předmět:	Economics and Econometrics Financial economics Bond Financial risk media_common.quotation_subject Financial risk management Operating cash flow Debt Systematic risk Economics Econometrics Bond credit rating Cash flow health care economics and organizations Finance media_common
Zdroj:	Journal of Economics and Finance. 17:137-147
ISSN:	1938-9744 1055-0925
DOI:	10.1007/bf02920036
Popis:	This study examines the association between bond betas and default risk factors. We find that both long-term debt and the relative ratio of long-term debt to short-term debt increase the bond beta; two measures of profitability, net income/total assets and EBIT/total assets and a cash flow measure of cash flow from operations/total assets decrease the bond beta. A proxy measure of standard deviation of returns is also significantly negatively related to bond betas, confirming the prediction from the option pricing model. In addition, by using new cash flow measures in the discriminant analysis, we improve on the successful prediction rate of bond ratings.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::372db61bda6470c74cb43c09a5303375 https://doi.org/10.1007/bf02920036 Zobrazit plný text záznamu Plný text ve formátu PDF