Page 47 - 臺大管理論叢第32卷第1期
P. 47

NTU Management Review Vol. 32 No. 1 Apr. 2022




                        determinants of credit risk in credit default swap transaction data: Is fixed-
                        income markets’ information sufficient to evaluate credit risk? (FAME Research
                        Paper No. 65). International Center for Financial Asset Management and
                        Engineering. https://doi.org/10.2139/ssrn.375563
               Bai, J., and  Wu, L. 2016. Anchoring credit default swap spreads to firm

                        fundamentals. Journal of Financial and Quantitative Analysis, 51 (5): 1521-
                        1543.
               Baker, M., and Wurgler, J. 2006. Investor sentiment and the cross‐section of stock
                        returns. The Journal of Finance, 61 (4): 1645-1680.

               Berndt, A., Douglas, R., Duffie, D., and Ferguson, M. 2018. Corporate credit risk premia.
                        Review of Finance, 22 (2): 419-454.
               Blanco, R., Brennan, S., and Marsh, I. W. 2005. An empirical analysis of the dynamic
                        relation between investment‐grade bonds and credit default swaps. The Journal
                        of Finance, 60 (5): 2255-2281.
               Bongaerts, D., De Jong, F., and Driessen, J. 2011. Derivative pricing with liquidity risk:
                        Theory and evidence from the credit default swap market. The Journal of

                        Finance, 66 (1): 203-240.
               Bühler, W., and Trapp, M. 2009. Time-varying credit risk and liquidity premia in bond and
                        CDS markets (CFR Working Papers No. 09-13). Köln, Germany: Centre for
                        Financial Research, University of Cologne.

               Carr, P., and Wu, L. 2016. Analyzing volatility risk and risk premium in option contracts:
                        A new theory. Journal of Financial Economics, 120 (1): 1-20.
               Chen, R. R., Cheng, X., and Wu, L. 2005. Dynamic interactions between interest rate,
                        credit, and liquidity risks: Theory and evidence from the term structure of credit
                        default swap spreads. http://dx.doi.org/10.2139/ssrn.779445
               Chen, R. R., Fabozzi, F. J., and Sverdlove, R. 2010. Corporate credit default swap liquidity

                        and its implications for corporate bond spreads. Journal of Fixed Income, 20 (2):
                        31-57.
               Ericsson, J., Jacobs, K., and Oviedo, R. 2009. The determinants of credit default swap
                        premia. Journal of Financial and Quantitative Analysis, 44 (1): 109-132.

               Ericsson, J., Reneby, J., and Wang, H. 2015. Can structural models price default risk?
                        Evidence from bond and credit derivative markets. Quarterly Journal of
                        Finance, 5 (3): 1-32.


                                                     39
   42   43   44   45   46   47   48   49   50   51   52