The Cost of Corporate Bond Financing in Latin America

Autores
Grandes, Marín; Pasquini, Ricardo; Panigo, Demian Tupac
Año de publicación
2009
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
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
Materia
Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-sa/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/164587

id SEDICI_31018c358e21073ef1fdc0c3e9e178a2
oai_identifier_str oai:sedici.unlp.edu.ar:10915/164587
network_acronym_str SEDICI
repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling The Cost of Corporate Bond Financing in Latin AmericaGrandes, MarínPasquini, RicardoPanigo, Demian TupacCiencias EconómicasEmerging Bond MarketsLatin AmericaStructural modelsCorporate bond yieldsCorporate bond spreadsSovereign CeilingApplying 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 Económicas2009-11info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionObjeto de conferenciahttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/164587enginfo:eu-repo/semantics/altIdentifier/isbn/978-987-99570-7-3info:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2009/grandes.pdfinfo:eu-repo/semantics/altIdentifier/issn/1852-0022info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-03T11:15:10Zoai:sedici.unlp.edu.ar:10915/164587Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-03 11:15:10.684SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv The Cost of Corporate Bond Financing in Latin America
title The Cost of Corporate Bond Financing in Latin America
spellingShingle The Cost of Corporate Bond Financing in Latin America
Grandes, Marín
Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
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 The Cost of Corporate Bond Financing in Latin America
dc.creator.none.fl_str_mv Grandes, Marín
Pasquini, Ricardo
Panigo, Demian Tupac
author Grandes, Marín
author_facet Grandes, Marín
Pasquini, Ricardo
Panigo, Demian Tupac
author_role author
author2 Pasquini, Ricardo
Panigo, Demian Tupac
author2_role author
author
dc.subject.none.fl_str_mv Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
topic Ciencias Económicas
Emerging Bond Markets
Latin America
Structural models
Corporate bond yields
Corporate bond spreads
Sovereign Ceiling
dc.description.none.fl_txt_mv 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
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.
publishDate 2009
dc.date.none.fl_str_mv 2009-11
dc.type.none.fl_str_mv info:eu-repo/semantics/conferenceObject
info:eu-repo/semantics/publishedVersion
Objeto de conferencia
http://purl.org/coar/resource_type/c_5794
info:ar-repo/semantics/documentoDeConferencia
format conferenceObject
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/164587
url http://sedici.unlp.edu.ar/handle/10915/164587
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/isbn/978-987-99570-7-3
info:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2009/grandes.pdf
info:eu-repo/semantics/altIdentifier/issn/1852-0022
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-sa/4.0/
Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0/
Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
_version_ 1842260656475078656
score 13.13397