Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 11, 2019 erstellt
Description:
Dynamics of credit markets impact almost all participants in financial markets. Yet, despite rapidly growing international credit markets, we know little about the dynamics of global credit markets, as most studies focus on the US. Here, I propose a new distance-to-default model, empirically modified to account for geographic differences and other credit market complexities, that accurately prices credit securities in global credit markets including the US, shedding new light on the controversial credit-spread-puzzle debate. In particular, I find that the credit-spread-puzzle is not a global phenomenon. Additionally, I buttress model predictions, that excess return sensitivity, credit and equity market segmentation and the credit security payoff structure are all functions of credit securities' credit quality themselves, with empirical evidence, providing new insights on the intricate relationship between both providers of capital, with profound implications for market practitioners, regulators and researchers alike