Saturday, 27 March 2010: 10:20
Manolis Kavussanos, Ph.D.
,
Financial and Accounting Management, Athens University of Economics and Business, Athens, Greece
Dimitris Tsouknidis, Ph.D.
,
Financial and Accounting Management, Athens University of Economics and Business, Athens, Greece
This paper explores the determinants of bond spreads in the U.S. Transportation sector. Since bond spreads compensate the bondholder for several types of risks, a wide set of explanatory variables is proposed as factors explaining their variation. This study tests for the effects of credit and liquidity risk as well as the existence of industry and macroeconomic effects. The main research question is whether bond-, issuer-, industry- or macro-specific variables account for the variation of credit spreads in the transportation sector of US listed companies. Evidence is presented which indicates that bond spreads reflect mainly bond- and macro-specific effects as well as liquidity and credit risk.
