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The Determinants of Corporate Risk in Emerging Markets :, An Option-Adjusted Spread Analysis, Eduardo Cavallo, Patricio Valenzuela

Abstract
This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line with the sovereign ceiling "lite" hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding
Table Of Contents
Contents; I. Introduction; II. Empirical Strategy; III. Data Description; A. Option Adjusted Spread (OAS) Analysis Computation; IV. Regression Results; Tables; 1. Determinants of Corporate OAS; Figure; 1. Variance Descomposition: Corporate OAS; V. Extensions and Robustness Checks; 2. Country Risks by Sectors; 3. Asymmetries; VI. Conclusions; 4. Determinants of Corporate OAS, Robustness Checks; 5. Determinants of Corporate OAS, Robustness Checks; Appendix Tables; 6. Correlation Matrix; 7. Description of Variables; 8. Descriptive Statistic; 9. Wald Test to test Sovereign Ceiling; References
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (26 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781452725895

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