Information uncertainty, information asymmetry and corporate bond yield spreads

Chia Wu Lu, Tsung-Kang Chen*, Hsien Hsing Liao

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

81 Scopus citations

Abstract

This study examines the effects of information uncertainty and information asymmetry on corporate bond yield spreads using American data from 2001 to 2006. Empirical results of this study show that investors charge a significant risk premium for both information uncertainty and information asymmetry when controlling for variables well known in the literature. The results are robust even when controlling for credit ratings. Finally, information uncertainty and asymmetry help structural-form credit models explain the yield spreads of bonds with short maturities.

Original languageEnglish
Pages (from-to)2265-2279
Number of pages15
JournalJournal of Banking and Finance
Volume34
Issue number9
DOIs
StatePublished - 1 Sep 2010

Keywords

  • Bond yield spreads
  • Information asymmetry
  • Information uncertainty

Fingerprint Dive into the research topics of 'Information uncertainty, information asymmetry and corporate bond yield spreads'. Together they form a unique fingerprint.

Cite this