International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?
January 1, 2010
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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.
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
Pages:
38
Volume:
2010
DOI:
Issue:
026
Series:
Working Paper No. 2010/026
Stock No:
WPIEA2010026
ISBN:
9781451962475
ISSN:
1018-5941
