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| Author: | Gabbi, G. Sironi, A. |
| Title: | Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads |
| Journal: | European Journal of Finance
2005 : FEB, VOL. 11:1, p. 59-74 |
| Index terms: | Bonds Eurobonds |
| Freeterms: | Credit ratings Default risk Spreads |
| Language: | eng |
| Abstract: | The question of which factors determine corporate bonds is pricing investigated by analysing the spreads of eurobonds issued by major G-10 companies during the 1991-2001 period. Three main results show up from the analysis. First, bond ratings appear as the most important determinant of yield spreads, with investors' reliance on rating agencies judgments increasing over time. Second, the primary market efficiency and the expected secondary market liquidity are not relevant, explanatory factors of spreads cross-sectional variability. Finally, rating agencies adopt a different, 'through the cycle', evaluation criteria of default risk with respect to the forward looking one adopted by bond investors. |
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