Factors affecting the valuation of corporate bonds

Lemmings in the bond market? An empirical analysis of the term structure of credit spreads

“…There is consensus in the literature that the credit yield curve for high-grade bonds increases with maturity; however, there is disagreement as to its shape for lower-quality firms. Further, empirical evidence on the determinants of credit risk premiums shows that spreads are also affected by tax considerations, secondary market liquidity, and nondiversifiable systematic risk (Elton et al 2001(Elton et al , 2004Gabbi and Sironi 2005;Crabbe and Turner 1995). 2 Supporting evidence is also provided by Düllman and Sosinska (2007), who examine the determinants of credit default swap premiums and find that the term structure increases with maturity.…”

“…Further, the maturity of a bond is generally also assumed to affect a bond's market liquidity. This measure rests on the belief that newly issued bonds are more liquid than bonds that have been on the market for a longer period of time (Elton et al 2004). However, my sample consists entirely of newly issued bonds as the empirical analysis is based on spreads observed at issuance.…”

Liquidity Expectation, Financing Ability and Credit Rating: Evidence from China

“…There are numbers of theoretical and empirical researches on credit rating models (see [5][6][7][8][9][10]). In rating model, the critical rating factors taken into account by rating agencies are primarily on two aspect: 1) On business, focusing on business size, diversity and regional distribution, the quality of the products or services, marketing capability and marketing networks; and 2) On financial analysis, focusing on the quality of financial information, the scale and quality of assets, capital structure and debt pressures, profitability, cash flow and other factors (see [11,12]). …”

“…Therefore, the scale of business, diversity and regional distribution, the quality of the products or services, the marketing capability and marketing networks, the quality of financial information, the asset size and quality, the capital structure and debt pressures, the profitability and the cash flow are the most basic rating factors (see [11,12]). In fact, a corporation's credit rate is the estimation of its risk of default and bankruptcy.…”

The role of country, regional and global market risks in the dynamics of Latin American yield spreads

“…The significant role of the bond-specific liquidity in pricing of corporate bonds and U.S. Treasuries is well established (Amihud and Mendelson, 1991;Collin-Dufresne et al, 2001;Díaz and Navarro, 2002;Fleming, 2002;Elton et al, 2004;Houweling and Mentink, 2005, among many others). This factor, however, has received little attention in studies of emerging market Eurobonds mainly due to data-related limitations.…”