IDEAS home Printed from https://ideas.repec.org/a/eee/jbrese/v62y2009i9p916-919.html
   My bibliography  Save this article

Pricing corporate bonds in Brazil: 2000 to 2004

Author

Listed:
  • Paiva, Eduardo Vieira dos Santos
  • Savoia, José Roberto Ferreira

Abstract

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond's maturity influence pricing and points out associations of long-term bonds with better rating issues.

Suggested Citation

  • Paiva, Eduardo Vieira dos Santos & Savoia, José Roberto Ferreira, 2009. "Pricing corporate bonds in Brazil: 2000 to 2004," Journal of Business Research, Elsevier, vol. 62(9), pages 916-919, September.
    • Handle: RePEc:eee:jbrese:v:62:y:2009:i:9:p:916-919
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0148-2963(08)00233-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001. "An analytic approach to credit risk of large corporate bond and loan portfolios," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1635-1664, September.
    2. Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, vol. 67(3), pages 217-217.
    3. Edwin J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
    4. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1995. "Fundamental Economic Variables, Expected Returns, and Bond Fund Performance," Journal of Finance, American Finance Association, vol. 50(4), pages 1229-1256, September.
    5. repec:bla:jfinan:v:44:y:1989:i:4:p:909-22 is not listed on IDEAS
    6. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2769-2788, November.
    7. Elton, Edwin J. & Gruber, Martin J. & Agrawal, Deepak & Mann, Christopher, 2004. "Factors affecting the valuation of corporate bonds," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2747-2767, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rajeswari Sengupta & Harsh Vardhan, 2023. "Bankruptcy regime change and credit risk premium on corporate bonds: Evidence from the Indian economy," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2023-001, Indira Gandhi Institute of Development Research, Mumbai, India.
    2. Marques, Thiago Avila & de Sousa Ribeiro, Karem Cristina & Barboza, Flavio, 2018. "Corporate governance and debt securities issued in Brazil and India: A multi-case study," Research in International Business and Finance, Elsevier, vol. 45(C), pages 257-270.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
    2. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    3. Wahyudi, Imam & Robbi, Abdu, 2009. "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper 59883, University Library of Munich, Germany, revised 16 Jul 2010.
    4. Menz, Klaus-Michael, 2010. "Market discipline and the evaluation of Euro financial bonds--An empirical analysis," Research in International Business and Finance, Elsevier, vol. 24(3), pages 315-328, September.
    5. Katarzyna Platt, 2020. "Corporate Bonds And Product Market Competition," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 615-647, August.
    6. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
    7. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, University Library of Munich, Germany.
    8. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    9. Kose John & S. Abraham Ravid & Natalia Reisel, 2010. "The Notching Rule for Subordinated Debt and the Information Content of Debt Rating," Financial Management, Financial Management Association International, vol. 39(2), pages 489-513, June.
    10. Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2022. "How do corporate bond investors measure performance? Evidence from mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 142(C).
    11. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
    12. Daniel M. Covitz & Diana Hancock & Myron L. Kwast, 2004. "A reconsideration of the risk sensitivity of U.S. banking organization subordinated debt spreads: a sample selection approach," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 73-92.
    13. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
    14. Mr. Iryna V. Ivaschenko, 2003. "How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 2003/003, International Monetary Fund.
    15. Ayturk, Yusuf & Asutay, Mehmet & Aksak, Ercument, 2017. "What explains corporate sukuk primary market spreads?," Research in International Business and Finance, Elsevier, vol. 40(C), pages 141-149.
    16. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
    17. Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016. "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, vol. 27(C), pages 102-131.
    18. Chang, Charles & Fuh, Cheng-Der & Kao, Chu-Lan Michael, 2017. "Reading between the ratings: Modeling residual credit risk and yield overlap," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 114-135.
    19. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
    20. Song Han & Xing Zhou, 2014. "Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction," Management Science, INFORMS, vol. 60(3), pages 675-694, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbrese:v:62:y:2009:i:9:p:916-919. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbusres .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.