The Determinants of Corporate Risk in Emerging Markets
Author | : Eduardo A. Cavallo |
Publisher | : |
Total Pages | : 26 |
Release | : 2009 |
ISBN-10 | : OCLC:1290851939 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Determinants of Corporate Risk in Emerging Markets written by Eduardo A. Cavallo and published by . This book was released on 2009 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 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 with the sovereign ceiling quot;litequot; 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.