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    题名: Are credit spreads too low or too high? A hybrid barrier option approach for financial distress
    作者: Lin, William;Sun, David
    贡献者: 淡江大學財務金融學系
    日期: 2009-12
    上传时间: 2011-10-24 10:20:04 (UTC+8)
    出版者: Hoboken: John Wiley & Sons, Inc.
    摘要: Based on the works of Brockman, P. and Turtle, H. J. (2003) and Giesecke, K. (2004), we propose in this study a hybrid barrier option model to explain observed credit spreads. It is free of problems with the structural model, which underprescribed credit spreads for investment grade corporate bonds and overprescribed the high-yield issues. Unlike the standard barrier option approach, our hybrid model does not imply, for high-yield issues with firms under financial stress, a reduction of credit spreads while firm value actually falls. Our empirical analysis supports that when credit spreads are quoted abnormally higher or rising faster than expected, unexpected changes tend to persist. Otherwise a significant and prompt reversion to long-term equilibrium takes place. This asymmetric pricing phenomenon is validated with a method introduced by Enders, W. and Granger, C. W. J. (1998) and Enders, W. and Siklos, P. L. (2001). The pricing asymmetry could not have been produced by a structural model employing only standard option. But it is consistent with a hybrid barrier option model. Our model characterizes the valuation of debt under financial stress and the asymmetric price pattern better than both the classical structural and the standard barrier option approaches. It can be extended to the study of individual CDS for its better liquidity than individual corporate bonds. This study provides helpful implications especially for the medium and high-yield issues in pricing as well as portfolio diversification. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1161–1189, 2009
    關聯: Journal of Futures Markets 29(12), pp.1161-1189
    DOI: 10.1002/fut.20418
    显示于类别:[財務金融學系暨研究所] 期刊論文

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