International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?
Electronic Access:
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Summary:
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.
Series:
Working Paper No. 2010/026
Subject:
Bonds Econometric analysis Emerging and frontier financial markets Estimation techniques Financial institutions Financial markets Stock markets Stocks
English
Publication Date:
January 1, 2010
ISBN/ISSN:
9781451962475/1018-5941
Stock No:
WPIEA2010026
Pages:
38
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