Message-ID: <FE6B9545917146C28C9B0F2FCF6AC6B2@Franki7PC>
Date: 2016-04-28T23:47:21Z
From: Frank
Subject: Default Premium
In-Reply-To: <1624111945.3013270.1461861015575.JavaMail.yahoo@mail.yahoo.com>
Moody's Seasoned Baa Corporate Bond Yield?
Available from FRED:
https://research.stlouisfed.org/fred2/series/DBAA
Frank
Chicago, IL
-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Pankaj K Agarwal via R-SIG-Finance
Sent: Thursday, April 28, 2016 11:30 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] 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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