The Cost of Corporate Bond Financing in Latin America

Applying an extended version of the structural approach to pricing risky corporate debt, we look into the evolution and determinants of the cost of bond financing for Latin American firms. We use a dataset including 667 quarterly panel observations of Argentinean, Brazilian, Chilean and Mexican firm...

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Autores principales: Grandes, Marín, Pasquini, Ricardo, Panigo, Demian Tupac
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2009
Materias:
Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/164587
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-164587
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spelling I19-R120-10915-1645872024-04-08T20:47:01Z http://sedici.unlp.edu.ar/handle/10915/164587 The Cost of Corporate Bond Financing in Latin America Grandes, Marín Pasquini, Ricardo Panigo, Demian Tupac 2009-11 2009 2024-04-08T18:52:17Z en Ciencias Económicas Emerging Bond Markets Latin America Structural models Corporate bond yields Corporate bond spreads Sovereign Ceiling Applying an extended version of the structural approach to pricing risky corporate debt, we look into the evolution and determinants of the cost of bond financing for Latin American firms. We use a dataset including 667 quarterly panel observations of Argentinean, Brazilian, Chilean and Mexican firms, with market and balance-sheet information in order to account for the cross-sectional and time series variations in the yield spreads of 72 US dollar-denominated corporate bonds issued by 22 different publicly traded (listed) firms. Resorting to panel econometric techniques, we test the economic and statistical significance of the determinants of corporate bond spreads, namely sovereign default risk, liquidity, leverage, firm-value volatility and risk-free interest rate volatility and the interaction between the latter two and leverage. In addition, when sovereign spreads come out as a statistically and economically significant determinant of corporate spreads, we test whether market participants apply the sovereign ceiling rule to the prices and yield spreads of those firms’ bonds, as rating agencies do under a number of circumstances and conditions. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
spellingShingle Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
Grandes, Marín
Pasquini, Ricardo
Panigo, Demian Tupac
The Cost of Corporate Bond Financing in Latin America
topic_facet Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
description Applying an extended version of the structural approach to pricing risky corporate debt, we look into the evolution and determinants of the cost of bond financing for Latin American firms. We use a dataset including 667 quarterly panel observations of Argentinean, Brazilian, Chilean and Mexican firms, with market and balance-sheet information in order to account for the cross-sectional and time series variations in the yield spreads of 72 US dollar-denominated corporate bonds issued by 22 different publicly traded (listed) firms. Resorting to panel econometric techniques, we test the economic and statistical significance of the determinants of corporate bond spreads, namely sovereign default risk, liquidity, leverage, firm-value volatility and risk-free interest rate volatility and the interaction between the latter two and leverage. In addition, when sovereign spreads come out as a statistically and economically significant determinant of corporate spreads, we test whether market participants apply the sovereign ceiling rule to the prices and yield spreads of those firms’ bonds, as rating agencies do under a number of circumstances and conditions.
format Objeto de conferencia
Objeto de conferencia
author Grandes, Marín
Pasquini, Ricardo
Panigo, Demian Tupac
author_facet Grandes, Marín
Pasquini, Ricardo
Panigo, Demian Tupac
author_sort Grandes, Marín
title The Cost of Corporate Bond Financing in Latin America
title_short The Cost of Corporate Bond Financing in Latin America
title_full The Cost of Corporate Bond Financing in Latin America
title_fullStr The Cost of Corporate Bond Financing in Latin America
title_full_unstemmed The Cost of Corporate Bond Financing in Latin America
title_sort cost of corporate bond financing in latin america
publishDate 2009
url http://sedici.unlp.edu.ar/handle/10915/164587
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