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A Peer-reviewed scientific articles/A1 Journal article (refereed), original research

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Option-Adjusted Delta Credit Spreads: a Cross-Country Analysis, European Financial Management 2; March (2010). Becchetti, Leonardo; Carpentieri, Andrea; Hasan, Iftekhar


Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
All authors as text Becchetti, Leonardo; Carpentieri, Andrea; Hasan, Iftekhar 
Number of authors 3 
Status Published
Year of publication 2012 
Date 15.03.2010 
Name of article Option-Adjusted Delta Credit Spreads: a Cross-Country Analysis 
Name of journal European Financial Management
Volume of issue 18 
Number of issue 2; March 
Pages 183-217 
Abstract This study analyses the determinants of the variation in option‐adjusted credit spreads (OASs) using a unique database and enlarges the traditional analysis to include disaggregated indexes, new variables, and a complete set of markets (USA, UK, and the Eurozone). An extended set of regressors explains almost half the variability of OASs in the three markets. We find that institutional trading activity significantly affects corporate bond spreads, signalling either variation in perceptions of risk or the existence of an indirect measure of liquidity. We also find that US business cycle indicators significantly affect the variability of OASs in the UK and the Eurozone. Finally, we find evidence that stock returns have more influence on high‐yield bonds in the Eurozone than in the USA.
Free text descriptor in English option adjusted credit spread, corporate bonds 
JEL-codes G11; G12 
ISSN / e-ISSN 1354-7798 
auki Internet addresses
Additional information First published: 15 March 2012
Notes BoF DP 34/2009 
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