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dc.contributor.authorCavallo, Eduardoen
dc.contributor.authorValenzuela, Patricioen
dc.date.accessioned2010-02-23-
dc.date.accessioned2011-11-18T11:48:05Z-
dc.date.available2011-11-18T11:48:05Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/51477-
dc.description.abstractThis study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line the sovereign ceiling 'lite' hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding.en
dc.language.isoengen
dc.publisher|aInter-American Development Bank, Research Department |cWashington, DCen
dc.relation.ispartofseries|aWorking Paper |x602en
dc.subject.jelE43en
dc.subject.jelF30en
dc.subject.jelF34en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordCorporate Bond Spreadsen
dc.subject.keywordSovereign Ceilingen
dc.subject.keywordDefault Risken
dc.subject.keywordEmerging Marketen
dc.titleThe determinants of corporate risk in emerging markets: An option-adjusted spreads analysis-
dc.typeWorking Paperen
dc.identifier.ppn585536740en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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