We examine the effect of information uncertainty on corporate bond yield spreads. Through empirically investigating corporate bond yield spreads from year 2001 to 2006, we find information uncertainty has a significant positive effect on corporate bond yield spreads after controlling determinant variables stated in literature. That is, investors charge a risk premium on information uncertainty. Additionally, information uncertainty can help traditional structural models to enhance its explanatory power for the yield spreads of bonds with very short maturity. Our results also suggest that non-accounting based information uncertainty is an important determinant for bond yield spreads even after controlling credit ratings.
Key words: Information uncertainty, Yield spreads
학술대회/행사
학술대회안내
[2008년 제 4차] The Effect of Information Uncertainty on Corporate
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게시일 :
2008-12-11