Pennsylvania State University

Our risk-free benchmark has always been the average yield-to-maturity on the Citi high-yield bond market’s index compared to the yield on ten-year US Treasuries. As seen in Figure 4, that spread has varied from 281bp in 1978 to 1050 in 1990, based on end-of-years’ spreads. Actually, the highest spread, before the current period’s flight ... ................
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