Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 19, 2002 erstellt
Description:
We develop a structural bond pricing approach and implement iton a large panel of US industrial bonds using an efficient maximumlikelihood methodology. We evaluate the model's ability to predictyield spread levels and changes out-of-sample. Errors are smaller anddistinctly less variable than those found in previous implementationsof structural as well as reduced form models. Furthermore, our analysisprovide evidence that bond yield spreads incorporate a substantialliquidity component on top of the default spread structural models aredesigned to capture