Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2007 erstellt
Beschreibung:
The comparison of asset swap spreads across bonds is a widely used tool to determine relative value. This approach leads portfolio managers to increase their risk exposure in ways that are not transparent. We utilize credit default swaps to demonstrate that a wide asset swap, as an indicator of relative value, is a mirage. We document the empirical regularities in the term structure of credit spreads and spread volatilities that make this result possible. In addition, we present empirical evidence of the imprint of widespread use of the asset swaps approach on corporate bond returns