European Parliament Library

International Pricing of Emerging Market Corporate Debt :, Does the Corporate Matter?, Sonja Keller, Ashoka Mody

Contributor
Abstract
We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk also matter significantly in a way consistent with theory and experience in mature markets. In contrast, except during periods of financial crisis, country factors play a limited role. These findings go against the supposition that limited information on emerging market firms or significant agency problems prevent firm-level credit discrimination by international investors. The firm-level information capitalization into spreads possibly reflects protection afforded by the exchange listing on international markets
Table Of Contents
Contents; I. Introduction; II. Theoretical and Empirical Framework; A. Structural Models of Credit Spreads; B. Corporate Bond Spread Literature; C. Stylized Facts; III. Data and Methodology; A. Data; B. Pooled OLS, Fixed-Effects and GMM Methodology; IV. Determinants of Spreads; A. Background; B. Bankruptcy Risk; C. Recovery Rate and Economic Fundamentals; D. Global Factors and Systematic Risk; V. Conditioning on Country Features; A. Measures of Investor Protection; B. Synchronicity; C. Country Risk during Financial Crises; VI. Structural Breaks; VII. Robustness Testing and Extensions
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (39 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451962475

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