The Myth of the Credit Spread Puzzle
研究发现Black-Cox模型能很好解释投资级债券的信用利差，但对投机级债券的利差估计偏低，而债券流动性不足是导致低估的原因。
Are standard structural models able to explain credit spreads on corporate bonds? In contrast to much of the literature, we find that the Black-Cox model matches the level of investment-grade spreads well. Model spreads for speculative-grade debt are too low, and we find that bond illiquidity contributes to this underpricing. Our analysis makes use of a new approach for calibrating the model to historical default rates that leads to more precise estimates of investment-grade default probabilities. Received October 25, 2016; editorial decision January 12, 2018 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.