Message-ID: <1624111945.3013270.1461861015575.JavaMail.yahoo@mail.yahoo.com>
Date: 2016-04-28T16:30:15Z
From: Pankaj K Agarwal
Subject: Default Premium
Dear All,I am not sure this question qualifies for this group. But I am using R for handling this project therefore posting. Sorry if I should not have.In a paper by Christopher, Ferson and Schadt, 1998 (Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance), they compute default premium by taking yield spread of AAA and BAA bonds. I am trying to do a similar study but have only AAA bonds and Government Securities yield spreads available. No data on BAA available.?Question: Can Spread (AAA-Government Bonds) be used to measure default premium in place of Spread (BAA-AAA) ?I will be immensely obliged for help.?Regards,Pankaj K Agarwal
Researcher in Mutual FundsIndia+91-98397-11444
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