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International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?
Author:
Ms. Sonja Keller
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Mr. Ashoka Mody null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2010: Issue 026
Language:
English
Publication Date:
01 Jan 2010
DOI:
https://doi.org/10.5089/9781451962475.001
ISBN:
9781451962475
ISSN:
1018-5941
Pages:
38
Keywords:
WP; equity return; market equity; GMM estimator; firm equity; country risk; GMM-system estimator; Corporate bonds; bond spreads; Fama-French factors; equity data; risk arbitrage; U.S. dollar; market volatility; Fixed-Effects estimator; Emerging and frontier financial markets; Stock markets; Stocks; Estimation techniques; Bonds; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund