Rollover Risk and Corporate Bond Spreads

  title={Rollover Risk and Corporate Bond Spreads},
  author={Patricio Valenzuela},
  journal={Capital Markets: Asset Pricing & Valuation eJournal},
  • Patricio Valenzuela
  • Published 2010
  • Business
  • Capital Markets: Asset Pricing & Valuation eJournal
  • Using a new data set on corporate bonds placed in international markets by advanced and emerging market borrowers, this paper demonstrates that the impact of debt market illiquidity on corporate bond spreads is exacerbated with a higher proportion of short-term debt. This effect is stronger in speculative-grade bonds and is smaller in the banking sector as banks may have the support of a lender of last resort in times of debt market illiquidity. The paper's major finding is consistent with the… CONTINUE READING
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