Publicación:
HOW VALUABLE IS MARKET-AND FIRM-SPECIFIC INFORMATION FOR CALCULATING BOND SPREADS IN AN EMERGING MARKET?

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dc.creatorRODRIGO EDGARDO ROMERO ROMERO
dc.date2019
dc.date.accessioned2025-01-10T15:12:17Z
dc.date.available2025-01-10T15:12:17Z
dc.date.issued2019
dc.description.abstractTHE DETERMINANTS OF CORPORATE BOND CREDIT SPREADS ARE INVESTIGATED IN CHILE AS AN EXAMPLE OF AN EMERGING MARKET WITH RELATIVELY FEW ACTORS AND THIN TRADING. BOTH MARKET-LEVEL AND FIRM-LEVEL FACTORS ARE CONSIDERED. THREE MODELS PREVIOUSLY USED TO ANALYZE THE HIGHLY DEVELOPED US MARKET ARE APPLIED TO CHILEAN INFLATION-INDEXED BOND TRADE DATA, AND THE RESULTS FOR THE TWO MARKETS ARE COMPARED. THE DETERMINANTS FOUND TO BE SIGNIFICANT FOR CHILE FORM THE BASIS FOR THE DESIGN OF A NEW MULTIFACTOR REGRESSION MODEL THAT IS USED TO EXPLAIN CHILEAN BOND SPREADS. THE RESULTS ARE EVALUATED WITH AN OUT-OF-SAMPLE TEST, AND THE ROOT-MEAN-SQUARE ERROR IS CALCULATED TO COMPARE THE MODEL?S RESULTS WITH THOSE OBTAINED BY THE METHOD COMMONLY APPLIED IN ILLIQUID MARKETS BY REPEATING THE LAST RECORDED TRANSACTION FOR DAYS ON WHICH NO DATA ARE AVAILABLE. THE PROPOSED FORMULATION IS FOUND TO REDUCE THE DEGREE OF ERROR.
dc.formatapplication/pdf
dc.identifier.doi10.1080/1540496X.2019.1650347
dc.identifier.issn1558-0938
dc.identifier.issn1540-496X
dc.identifier.urihttps://repositorio.ubiobio.cl/handle/123456789/10909
dc.languagespa
dc.publisherEMERGING MARKETS FINANCE AND TRADE
dc.relation.uri10.1080/1540496X.2019.1650347
dc.rightsPUBLICADA
dc.titleHOW VALUABLE IS MARKET-AND FIRM-SPECIFIC INFORMATION FOR CALCULATING BOND SPREADS IN AN EMERGING MARKET?
dc.typeARTÍCULO
dspace.entity.typePublication
ubb.EstadoPUBLICADA
ubb.Otra ReparticionDEPARTAMENTO DE INGENIERIA INDUSTRIAL
ubb.SedeCONCEPCIÓN
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