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| Tekijä: | Amira, K. |
| Otsikko: | Determinants of sovereign Eurobonds yield spread |
| Lehti: | Journal of Business Finance and Accounting
2004 : JUN/JUL, VOL. 31:5-6, p. 795-821 |
| Asiasana: | Financial markets Bond markets Bond yields Credit rating Risk Models |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the determinants of sovereign Eurobond spread (hereafter as: spr.) at issuance covering 19912000. The results of the regression models showed that yield spr. increases with maturity, issue size and gross fees and decreases with credit rating (here as: c-r.) and the number of managers. Higher-grade (here as: h-g.) issuers also pay a relatively higher spr. to borrow long-term funds and for smaller issues. The findings are consistent with the notion of a term structure 'liquidity premium'. Low-grade (here as: l-g.) issuers pay a higher spr. than better-rated countries. However, l-g. countries pay high spr. for larger funds. C-r. is found to provide additional information in explaining the spr. on sovereign Eurobonds beyond that provided by macroeconomic variables. |
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