How much of the corporate-treasury yield spread is due to credit risk?
JZ Huang, M Huang - The Review of Asset Pricing Studies, 2012 - academic.oup.com
We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …