International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?

Sonja Keller and Ashoka Mody

No 2010/026, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 38
Date: 2010-01-01
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Citations: View citations in EconPapers (2)

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