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Costs of corporate bond issue in coal mining companies
Sierpińska-Sawicz, Agata; Bąk, Patrycja Barbara - In: Contemporary economics 10 (2016) 2, pp. 99-112
mining industry is quite challenging. Companies in this sector are in debt, generating losses caused by a sharp drop in coal … quality of the safeguards against the risk of loss of funds invested by bondholders. Bonds issued by coal mining companies are …In Poland, more than 90% of electricity production is based on coal fuel. Meanwhile, the financial situation of the …
Persistent link: https://www.econbiz.de/10011515772
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Rollover Risk and Corporate Bond Spreads
Valenzuela, Patricio - 2011
Using a novel data set and new proxies for rollover losses and market illiquidity, this paper finds that market illiquidity affects corporate bond spreads beyond a liquidity premium through a “rollover risk channel”. This effect is economically significant during episodes of market...
Persistent link: https://www.econbiz.de/10013128430
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Rollover Risk and Corporate Bond Spreads
Valenzuela, Patricio - 2010
This paper examines whether rollover risk is priced on corporate bond spreads. Using a novel data set and new proxies for rollover risk and market illiquidity, the empirical analysis developed reveals that market illiquidity affects corporate bond spreads beyond a liquidity premium through a...
Persistent link: https://www.econbiz.de/10013136794
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Investment-Based Corporate Bond Pricing
Kuehn, Lars-Alexander - 2014
A standard assumption of structural models of default is that firms' assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, fi rm-level variables that proxy for...
Persistent link: https://www.econbiz.de/10013067398
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The Determinants of Option-Adjusted Delta Credit Spreads : A Comparative Analysis of the United States, the United Kingdom and the Euro Area
Becchetti, Leonardo - 2009
We analyse the determinants of the variation of option-adjusted credit spreads (OASs) on a unique database that enlarges the traditional scope of analysis to more disaggregated indexes (combining industry, grade and maturity levels), new variables (volumes of sales and purchases of institutional...
Persistent link: https://www.econbiz.de/10013153595
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The Agency Component of Credit Spread
Gamba, Andrea - 2019
Lack of shareholders' commitment about debt and investment policies increases the cost of debt by a quantity that we refer to as the agency (credit) spread. The agency spread increases with the number of periods for which debt holders are exposed to policies that decrease the value of debt: from...
Persistent link: https://www.econbiz.de/10012905079
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Does Rating Analyst Subjectivity Affect Corporate Debt Pricing?
Fracassi, Cesare - 2017
We find evidence of systematic optimism and pessimism among credit analysts, comparing contemporaneous ratings of the same firm across rating agencies. These differences in perspectives carry through to debt prices and negatively predict future changes in credit spreads, consistent with...
Persistent link: https://www.econbiz.de/10012974558
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What Drives Corporate Bond Risk Premia? Evidence from the CDS Market
Diaz, Antonio - 2017
This article studies the economic factors behind corporate default risk premia in Europe during the period 2006–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the underlying bonds in market-wide default circumstances. We...
Persistent link: https://www.econbiz.de/10012976109
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Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market
An, Xudong - 2015
We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...
Persistent link: https://www.econbiz.de/10013012971
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A Comparative Analysis of Ex Ante Credit Spreads : Structured Finance versus Straight Debt Finance
Marques, Manuel O. - 2020
This paper examines the pricing of structured finance (SF) – asset-backed securities (ABS), mortgage-backed securities (MBS), and collateralized debt obligations (CDO) – and straight debt finance transactions. Using a cross-section of 24,525 European bonds issued by financial and...
Persistent link: https://www.econbiz.de/10012856900