Spread determinants in corporate bond pricing: The effect of market and liquidity risks

Özdemir-Dilidüzgün, Menevşe; Altıok-Yılmaz, Ayşe; Akben-Selçuk, Elif

doi:10.2298/pan171024002o

Cited by 3 publications

(2 citation statements)

References 37 publications

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“…The determinants recognised by the paper were: the absence of a corporate bond yield curve, a narrow investor base, market participants' lack of financial education and authorities' attitudes. The study of Odemir-Dilidugun et al (2022) examined the liquidity factor from the corporate bond pricing side for Turkey, an emerging market, and Europe. For Turkey, the study revealed the link to the benchmark treasury bond liquidity and corporate bond market liquidity, for the Eurozone equity market, liquidity and government bond benchmark were revealed.…”

Section: Literature Reviewmentioning

confidence: 99%

Going Global or Staying Local: Determinants of Domestic and International Corporate Bond Issues in the Baltics

Tocelovska,

Vainovskis,

Lenerts

2023

EIS

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In the period 2017-2022, there has been a notable growth in international bond placements by Baltic companies, which is distinct from corporate bond issuance in the European Economic Area. While the Baltic governments have demonstrated an increased focus on the corporate bond market development – the pan-Baltic Capital Markets Union launched in 2017 and covered bond law as adopted in Latvia in 2021, those activities are not directly linked to the ongoing shift to international corporate borrowing. In the academic literature, the determinants affecting corporate bond issuance are getting certain attention while studying separately the country-level determinants and the firm-level determinants, which are further split into domestic and international corporate bond issuance. For the Baltic countries, rare academic research has focused on the corporate bond market development of an individual Baltic country. This paper aims to discover the determinants for domestic and international corporate bond issuance of Baltic companies. While providing theoretical insight into corporate bond issuance rationale for both domestic and international placements, the paper focuses on factors that have contributed to firms choosing to issue bonds internationally. The methods applied in this study are scientific publication analysis, document analysis, expert survey, in-depth interviews, and statistical data analysis. For the statistical analysis, macroeconomic data was acquired from Cbonds, The World Bank, and International Monetary Fund databases in combination with company-specific data gathered from Nasdaq CSD, Orbis, Lursoft, Storybook, and Rekvizitai. The authors have employed a panel regression model for domestic and international bond issuance, and probit regression for all issued bonds in the Baltics from 2003-2022 to estimate the probability of pursuing bond financing internationally. The findings of this paper indicate that in the Baltics the main firm-level determinants for domestic corporate bond issuance are the company’s financial performance, its geographic exposure, documentation and listing costs, and access to alternative funding sources; on the country-level, the determinants are the share of sovereign international bonds of GDP, corruption perception, and exports as a share of GDP. For issuing international corporate bonds, the main determinants on the firm-level are bond placement size, company size, equity ratio, a satisfactory credit rating, and appropriate yields in the context of higher competition for international investor attention; on the country-level, GDP per capita, country’s export share, interest rate spread, regulatory quality, and political stability play an important role.

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Section: Literature Reviewmentioning

confidence: 99%

Going Global or Staying Local: Determinants of Domestic and International Corporate Bond Issues in the Baltics

Tocelovska,

Vainovskis,

Lenerts

2023

EIS

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“…Securities having more than 5 years maturity. Dilidüzgün, Yılmaz, and Selç uk (2020) Government securities of 10-years maturity yields. Prathama, Sugiarto, Ugut, and Hulu (2020) Govt.…”

Section: Author(s)mentioning

confidence: 99%

Unveiling the black swan of the Inflation-Adjusted Real Excess Returns-Risk Nexus: Evidence from Pakistan

Azam

Haddad

Naveed

et al. 2022

JSSMS

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The risk-free rates are widely used as benchmark to measure excess stocks returns or excess market returns and contribute a significant role in Asset Pricing Models. The purpose of this study is to scrutinize the risk and real excess portfolio returns using inflation adjusted risk-free rates, a unique measuring technique with a primary focus on the momentum augmented Fama-French five-factor model, utilising monthly data for 1994-2022 from the Pakistan Stock Exchange. Using OLS regression technique, the findings reveal that except profitability, the market, size, value, momentum and investment move largely correlated with excess portfolio stocks returns. The Gibbons, Ross & Shanken test confirms that the momentum augmented Fama-French five-factor model outperforms in the market.

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On the predictability of bonds

Verner

Tkáč

2023

Finance Research Letters

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Spread determinants in corporate bond pricing: The effect of market and liquidity risks

Cited by 3 publications

References 37 publications

Going Global or Staying Local: Determinants of Domestic and International Corporate Bond Issues in the Baltics

Going Global or Staying Local: Determinants of Domestic and International Corporate Bond Issues in the Baltics

Unveiling the black swan of the Inflation-Adjusted Real Excess Returns-Risk Nexus: Evidence from Pakistan

On the predictability of bonds

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