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Option-Based Credit Spreads

https://doi.org/10.1257/aer.20151606
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29/29 checkable references clean · checked 2026-07-26

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 29 checked references that resolve
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The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
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A Simple Robust Link Between American Puts and Credit Protection
resolves10.1111/j.1540-6261.2010.01613.x
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
resolves10.1093/rfs/hhn078
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
resolves10.1111/j.1540-6261.2012.01779.x
On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations
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The Puzzle of Index Option Returns
resolves10.1257/aer.99.3.628
Economic Catastrophe Bonds
resolves10.1093/rfs/hhn071
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
resolves10.1093/rfs/hhm041
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle
resolves10.2469/faj.v55.n1.2243
Credit Swap Valuation
resolves10.1111/1468-0262.00208
Term Structures of Credit Spreads with Incomplete Accounting Information
resolves10.1257/aer.102.4.1692
Credit Spreads and Business Cycle Fluctuations
resolves10.1016/j.jfineco.2015.09.010
The common factor in idiosyncratic volatility: Quantitative asset pricing implications
resolves10.1093/rapstu/ras011
How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
resolves10.1146/annurev.financial.050808.114300
Credit Risk Models
resolves10.1111/jofi.12204
Investment‐Based Corporate Bond Pricing
resolves10.1111/j.1540-6261.1994.tb02452.x
Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
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Agency Costs, Risk Management, and Capital Structure
resolves10.1111/j.1540-6261.1996.tb02714.x
Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
resolves10.1111/j.1540-6261.2005.00797.x
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
resolves10.2307/2978814
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
resolves10.1162/qjec.2009.124.3.1011
The Bond Market's<i>q</i><sup>*</sup>
resolves10.1111/j.1540-6261.1984.tb03897.x
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
resolves10.1146/annurev-financial-110112-120923
A Review of Merton’s Model of the Firm’s Capital Structure with Its Wide Applications
resolves10.1111/j.1540-6261.2004.00640.x
Diversification Discount or Premium? New Evidence from the Business Information Tracking Series
resolves10.1016/S0378-4266(00)00168-0
The term structure of credit spreads with jump risk
The 1 reference without a DOI — listed, not checked
no DOI — not checkedp_24
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