International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?

January 1, 2010

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Format: Chicago

Sonja Keller, and Ashoka Mody. International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?, (USA: International Monetary Fund, 2010) accessed December 12, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Bonds, Econometric analysis, Emerging and frontier financial markets, Estimation techniques, Financial institutions, Financial markets, Stock markets, Stocks

Keywords: Bond spreads, Bonds, Corporate bonds, Country risk, Emerging and frontier financial markets, Equity data, Equity return, Estimation techniques, Fama-French factors, Firm equity, Fixed-Effects estimator, Global, GMM estimator, GMM-system estimator, Market equity, Market volatility, Risk arbitrage, Stock markets, Stocks, U.S. dollar, WP

Publication Details

Pages:

38
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2010/026
Stock No:

WPIEA2010026
ISBN:

9781451962475
ISSN:

1018-5941

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