Determinants of Corporate Bond Issuance Spreads – Evidence From Polish Bond Market

Natalia Śmieja

Abstract

The purpose of the thesis is to identify which factors are relevant in determining corporate bonds issuance spreads (defined as interest rate margin above WIBOR rate) and to measure how those determinants affect issuance spreads. The main focus in selecting variables was directed at bankruptcy risk and agency cost theory. A multiple regression analysis was performed to identify factors relevant to bond’s issuance spreads. The research was carried out on general sample of 230 bonds listed on Catalyst market (Model 1, ALL), as well as on two subsamples including bonds issued by developers (Model 2, DEV) and by companies from finance sector (Model 3, FIN). The results clearly indicate that different determinants are significant for companies classified in different samples (models). For developers, important role in lowering corporate bond yields plays EBITDA margin – higher margin can indicate better financial condition and less risk in repaying debt and therefore it has positive impact on interest rates. The firm size measured by value of the assets is another significant variable for developers – large firms sets lower issuance spread. Firms with higher asset value (DEV) should use more covenants to protect bondholders if they wish to lower interest rate paid upon bonds.. Important role plays the variable of bonds value to book value. The results in Model FIN show a significant association between issuance spread and (1) additional investment security, (2) corporate effectiveness and (3) corporate credibility.
Diploma typeDoctor of Philosophy
Author Natalia Śmieja (ES / DF)
Natalia Śmieja,,
- Department of Finance
Title in EnglishDeterminants of Corporate Bond Issuance Spreads – Evidence From Polish Bond Market
Languagepl polski
Certifying UnitFaculty of Economic Sciences (ES)
Disciplinefinanse / nauki ekonomiczne(nauki ekonomiczne) / nauki społeczne()
Defense Date18-05-2015
End date11-06-2015
Supervisor Jacek Karwowski (ES / DF)
Jacek Karwowski,,
- Department of Finance

Marek Pauka (ES / DF)
Marek Pauka,,
- Department of Finance

External reviewers Jerzy Węcławski
Jerzy Węcławski,,
-

Danuta Dziawgo
Danuta Dziawgo,,
-
Pages189
Keywords in EnglishCorporate bonds, bond yield spreads, determinants of corporate bond yields
Abstract in EnglishThe purpose of the thesis is to identify which factors are relevant in determining corporate bonds issuance spreads (defined as interest rate margin above WIBOR rate) and to measure how those determinants affect issuance spreads. The main focus in selecting variables was directed at bankruptcy risk and agency cost theory. A multiple regression analysis was performed to identify factors relevant to bond’s issuance spreads. The research was carried out on general sample of 230 bonds listed on Catalyst market (Model 1, ALL), as well as on two subsamples including bonds issued by developers (Model 2, DEV) and by companies from finance sector (Model 3, FIN). The results clearly indicate that different determinants are significant for companies classified in different samples (models). For developers, important role in lowering corporate bond yields plays EBITDA margin – higher margin can indicate better financial condition and less risk in repaying debt and therefore it has positive impact on interest rates. The firm size measured by value of the assets is another significant variable for developers – large firms sets lower issuance spread. Firms with higher asset value (DEV) should use more covenants to protect bondholders if they wish to lower interest rate paid upon bonds.. Important role plays the variable of bonds value to book value. The results in Model FIN show a significant association between issuance spread and (1) additional investment security, (2) corporate effectiveness and (3) corporate credibility.
KBN classificationekonomia
Thesis file
Smieja_N_Detarmnanty_Oprocentowania_Obligacji_Notowanych.pdf 2,55 MB
Reviews
Smieja_N_Recenzja_Dziawgo_D.pdf 1,86 MB
Smieja_N_Recenzja_Weclawski_J.pdf 1,48 MB

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