Taxes, Default Risk, and Yield Spreads

Yawitz, Jess B.; Maloney, Kevin J.; Ederington, Louis H.

doi:10.3386/w1215

Cited by 18 publications

(28 citation statements)

References 4 publications

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“…And its counterpart, the willingness of the government to service the debt is unobservable for sovereign debt. 10 We therefore adopt a straightforward, albeit somewhat more restrictive approach to valuing risky debt that has been used by Bierman and Haas (1975), Yawitz (1977) and Yawitz et al (1985) in studies of the pricing of corporate debt. The basic idea is to use the equality between the price of a bond and the present value of the expected future cash flows from the bond to compute the implied default probability each period.…”

Section: A Summary Measure Of Credit Qualitymentioning

confidence: 99%

Emerging market debt: measuring credit quality and examining relative pricing

Cumby

Pastine

2001

Journal of International Money and Finance

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We investigate the pricing of 'Brady' bonds that are issued by the governments of five developing countries as part of debt and debt service reduction agreements. We first present a measure of credit quality that takes account of the individual features of each bond and is comparable across bonds, across issuers, and over time. We then examine the evolution of the credit quality of each debt instrument from 1990 until the beginning of 2000. Next, we present evidence of a profitable trading strategy that exploits the information contained in this measure of credit quality. 

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Section: A Summary Measure Of Credit Qualitymentioning

confidence: 99%

Emerging market debt: measuring credit quality and examining relative pricing

Cumby

Pastine

2001

Journal of International Money and Finance

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“…Yawitz, Maloney, and Ederington (1983) estimate default probabilities for municipal debt of more than one percent per year. This is inconsistent with the history of municipal defaults, reported for example in ACIR (1976).…”

Section: Discussionmentioning

confidence: 99%

Expected Future Tax Policy and Tax-Exempt Bond Yields

Poterba¹

1984

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“…The proposed model is in t h e same spirit as t h a t used by Yawitz, Maloney,and Ederington (1983) to model yield spreads in the municipal bond market on the basis of differing default probabilities and tax effects. 1…”

Section: Default R a T E S And Yields T O Maturitymentioning

confidence: 99%

“…Yawitz, Maloney, and Ederington (1983) do not compare their estimates of default r a t e s in the municipal market with actual rates.…”

mentioning

confidence: 99%