This paper examines whether the total amount issued of a company has an effect on corporate bonds’ yield spreads on the Swedish debt capital market. With panel data regression of over 150,000 observations from over 20 investment graded companies, it is found that the relationship is smile-like. Companies with lower and higher amount of issued bonds have a higher yield spread compared to those in the middle-size range of the same credit risk. The significance hold after controlling for other regressors such as bond-specific, firm-specific, and macroeconomic variables. The effect can be viewed as a market-illiquidity problem from the theory of constrained investors where Swedish issuers outgrow the smaller SEK market and the yield spread levels are not fully explained by default risk determinants. The paper’s result indicates that the total amount outstanding of a company has a role in explaining the dynamics of corporate bonds’ yield spread. / Denna uppsats undersöker om det totala utfärdade beloppet för ett företag har en effekt på företagsobligationers yield spread på den svenska skuldkapitalmarknaden. Med paneldataregression på över 150,000 observationer från över 20 investeringsgraderade företag kan det konstateras att förhållandet är icke-linjärt. Företag med lägre och högre belopp emitterade obligationer har en högre yield spread jämfört med dem i medelstorleksintervallet av samma kreditrisk. Signifikansen håller efter kontroll för andra regressorer, såsom obligationsspecifika, företagsspecifika och makroekonomiska variabler. Effekten kan ses som ett problem med illikviditet på marknaden utifrån teorin om begränsade investerare där svenska emittenter växer ifrån den mindre SEK-marknaden. Uppsatsens resultat indikerar att det totala utestående beloppet för ett företag har en roll i att förklara dynamiken i företagsobligationernas yield spread.

O objetivo geral do trabalho foi analisar a formação dos preços de emissão de debêntures a partir de fatores determinantes do preço, medido pelo spread em relação a títulos públicos federais. Buscou-se identificar fatores que, além do rating, influenciam os preços, diferenças de spreads em função de grupos e associações de atributos de variáveis. A amostra contou com 154 registros de debêntures não conversíveis, emitidas no período de 2000 a 2005, com emissão primária por meio de leilão público e que receberam pelo menos um rating. O estudo pode ser classificado como quantitativo e descritivo, uma pesquisa ex-post-facto, com estrutura de dados pooled cross-section e tem como base o modelo de fatores, em linha com o modelo APT. Foi utilizada a regressão múltipla para análise da relação entre as variáveis e seu peso na formação dos spreads; regressão logística, para a diferenciação de setor e indexador; e análise de correspondência, para se avaliar preferências em termos de atributos de qualidade de crédito, maturidade e indexador. Concluiu-se que as variáveis referentes a risco de crédito foram relevantes na determinação do spread. Destaque-se, também, a importância do indexador IGP-M, pois sua variável é positivamente correlacionada com o spread, indicando que papéis indexados ao IGP-M tendem a ter remuneração maior. A variável referente ao período de crise mostrou-se relevante na determinação do spread, enquanto a referente ao setor de energia e telecomunicações não. Finalmente, o investidor aceita alongar os prazos para as emissões de melhor qualidade de crédito. / The objective of this work was to analyze the determinant factors of corporate bonds? issuing prices, measured as spread over Treasury, and to identify factors that, along with the rating, influence the prices, and spread differences among groups and associations of variables attributes. The sample had 154 cases of non-convertible debentures, issued between January 2000 and December 2005, by means of public auction and that received at least one rating. The study can be classified as quantitative and descriptive, an ex-post-facto research, with pooled cross-section data structure and has its base in the factor model, in line with the APT. Multiple regression was used to analyze the relationship between the spread and the other variables; logistic regression, for discrimination regarding sector and index; and correspondence analysis, to evaluate the attributes related to the variables credit quality, maturity and index. The results indicate that pricing is influenced by the credit risk variables. Also important is the IGP-M index variable, positively correlated with spread, indicating that bonds inflation indexed tend to have higher returns. The crises period is relevant for spread determination, while the sector of energy and the telecommunications is not. Also, choices of long-term bonds are associated with better ratings.

L’objet de cette thèse est d’analyser d’un point de vue financier la cotation et le comportement des obligations privées à la Bourse de Paris à partir de 1838 jusqu’à l’éclatement de la Première Guerre mondiale. Cette étude est divisée en deux parties : La première relate la création et l’évolution des émissions obligataires (marché primaire) durant le 19ème siècle. On s’intéresse aux grands émetteurs qui ont su se servir le mieux des obligations et les raisons de leur succès. Dans cette partie seront également traitées les caractéristiques techniques et les innovations financières des émissions. La deuxième partie tente d’analyser le comportement boursier des obligations(marché secondaire).Pour cela un indice général des cours d’obligations durant le 19ème siècle a été calculé. En se basant sur cet indice nous mettons en lumière pour la première fois, les caractéristiques de ce marché (rentabilité, volatilité, …). Cela permet de comparer nos résultats avec ceux des études antérieures sur les marchés d’actions et de la rente au 19ème siècle. Cet indice permet également de tester les diverses hypothèses financières relevant de la théorie financière moderne (efficience informationnelle, cointégration avec des autres compartiments du marché,…). / This thesis studies the French corporate bonds market during the 19th century. Despite its importance the performance of the corporate bonds quoted on the Paris Bourse has never been studied. In order to analyse this market, a price index of the corporate bond market has been created by using modern techniques. The creation of the index was made possible thanks to an original database created by new data, which has never been used before and collected directly from the publications of the market authorities during the nineteenth century. Thanks to the index, the risk and the return of the market have been measured. Then we compared the performance of the French corporate bonds with those of the stocks and government bonds; the results of thecomparisons are interesting. This study demonstrates that the corporate bonds are the least risky securities and their rate of return is higher than the government bonds during the nineteenth century. Some econometric tests have also been used to compare the efficiency of bond market with the other segments of the Paris Bourse.

O objetivo da tese foi analisar a influência do rating, provido por agências independentes na formação dos preços de emissão de debêntures. A base de dados contou com 354 séries de debêntures não conversíveis, emitidas por empresas não financeiras, entre janeiro de 2000 e junho de 2010, em mercado primário público. A metodologia baseia-se no modelo fatorial de precificação aplicado a uma estrutura de dados pooled cross-section. Os modelos desenvolvidos ao longo do trabalho apontaram a relevância do rating na explicação do spread de emissão primária de debêntures no Brasil. Isoladamente, no entanto, explica cerca de 10% da variabilidade do spread. O estudo demonstrou serem significativas variáveis de crédito, maturidade, relação entre o volume emitido e o estoque de debêntures do mercado, a evolução do PIB e a alteração futura de rating (direção e a magnitude). Constatou-se também que emissões em percentual do DI tendem a ter menor spread que aquelas remuneradas por inflação mais taxa. Não se pode afirmar que o mercado diferencie, por meio do preço, a origem das agências ou as emissões com mais de um rating. As variáveis idiossincráticas da firma, na forma de índices econômico-financeiros extraídos de demonstrações financeiras publicadas, explicam diferenças de rating. Finalmente, constatou-se a utilidade da variável de escala linear de rating nos modelos de regressão desenvolvidos. / The overall objective of this dissertation was to analyze the influence of the rating provided by independent agencies in the spread of corporate bonds. The database was comprised of 354 series of non-convertible debentures issued by non-financial companies between January 2000 and June 2010 in public primary market. The study approach is based on the pricing factor model applied to a pooled cross-section data structure. The developed models suggested that the rating is significant in explaining the spread of primary issuance of debentures in Brazil. However, the rating explains no more than 10% of the spread variability. The study revealed that other factors were also significant during the analyzed period along with the credit variables: maturity, the ratio between the volume issued and total market outstanding of debentures, GDP growth, and future rating changes. It was also noted that series linked daily floating rates tend to have lower spread than those linked to inflation. When price is taken into account, the market does not seem to differentiate local agencies from international ones, or series with two or more ratings. Financial ratios obtained from financial statements, do explain the differences in rating. Finally, other important findings indicate the usefulness of the rating variable based in linear scale in the regression models developed in this work

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-11-17T12:54:32Z No. of bitstreams: 1 Flávia Raquel Mattes_.pdf: 1077169 bytes, checksum: 8f39dae946a312e96c8e6a7ce0ae12c7 (MD5) / Made available in DSpace on 2016-11-17T12:54:32Z (GMT). No. of bitstreams: 1 Flávia Raquel Mattes_.pdf: 1077169 bytes, checksum: 8f39dae946a312e96c8e6a7ce0ae12c7 (MD5) Previous issue date: 2015-09-15 / Nenhuma / O presente estudo tem por objetivo analisar e classificar as cláusulas restritivas dos contratos de emissões de debêntures, verificando as alterações destas cláusulas e as influências do cenário de elevação de risco, mensurado pelo rating soberano brasileiro, apresentado na data de emissão das debêntures. Adicionalmente, verificar as estruturas dos covenants e mecanismos utilizados para a mitigação de risco nas emissões e determinar quais os covenants contábeis e financeiros mais utilizados nos dois períodos de risco estabelecidos. Para estudar estas alterações, foram verificados os contratos de emissões de debêntures emitidas no período de 01/01/2011 até 31/03/2016, de emissões com registro na CVM e na modalidade ICVM 400. Após a coleta de dados realizada, foi formada uma base de dados com 49 escrituras de emissões e 1.883 cláusulas restritivas, organizadas em 2 grupos de acordo com o rating soberano apresentado na data de emissão da escritura de debêntures. Foram utilizadas técnicas de estatística e análise qualitativa mediante a leitura e classificação dos covenants de todas as escrituras, prospectos, atas de assembleia de debenturistas e relatórios de agentes fiduciários. Os resultados do estudo demonstram que no período de maior risco os emissores apresentam dificuldades em cumprir os covenants financeiros e manter o rating apurado pelas agências classificadoras no início do contrato, resultando em eventos de inadimplementos e descumprimento dos covenants, nos quais os debenturistas e os emissores efetuaram acordos com pagamento de prêmios adicionais de risco e repactuações visando garantir a continuidade dos contratos até o vencimento, em detrimento de exigir o pagamento antecipado da dívida. Após a análise proposta e dos resultados, de acordo com o objetivo do estudo, foi possível demonstrar que o risco soberano não causa impacto como alterações estruturais nos covenants e no nível de restritividade dos covenants contábeis, embora as alterações de risco tenham consequências econômicas na captação de investimentos para as empresas. / The present study aims to analyze and to classify the covenants of debenture issuance contracts, assessing the main changes of such terms and the influences of the increasing risk scenario, measured by the Brazilian sovereign rating, submitted on the date of issuance of the debentures. In addition, it analyses covenant structures and mechanisms used for risk mitigation in issuing and determining which accounting and financial covenants are the most used in both risk periods established. In order to study these changes, the debentures contracts issued in the period between 01/01/2011 to 03/31/2016 were analyzed, registered with the CVM and CVM Instruction 400. After collecting data, it was formed a database with 49 issuing scriptures and 1.883 covenants, organized into 2 groups according to the sovereign rating displayed on the date of issuance of debentures. Statistical techniques and qualitative analysis were used by reading and rating of the covenants of all scriptures, prospectuses, debenture holder’s meeting minutes and trustees reports. The findings showed that it was during the greatest period of risk when issuers had difficulties to meet financial covenants and to maintain the rating determined by the rating agencies at the beginning of the contract, resulting in defaults events and noncompliance with the covenants in which the debenture holders and issuers agreed with payment of additional premiums of risk and renegotiations to ensure the continuity of contracts to maturity, to the detriment of demanding early repayment of debt. Upon completion of the proposed methodology and results analysis, according to the purpose of the study, we could demonstrate that sovereign risk has no impact as structural changes in the covenants and restrictive level of financial covenants, although the risk of changes have economic consequences in attracting investment for companies.

Författare: Narina Bengtsson och Victor Friis-Liby Handledare: Eva BerggrenTitel: Fastighetsbolagens finansiering – En studie om fastighetsbolagens nyafinansieringsalternativ Bakgrund och problem: Kapitaltunga bolag som fastighetsbolag är ständigt i behov avkapital. Bankkredit som alltid varit det vanligaste och mest använda finanseringsalternativethar i större utsträckning ersatts med företagsobligationer och preferensaktier. Marknaden försvenska företagsobligationer har växt de senaste åren och fastighetsbolagen står idag för tvåtredjedelar av de totala preferensaktierna på Stockholmsbörsen. Efter den senaste finanskrisensvarade myndigheterna med att ta fram Basel III – regelverket, som ställer striktarekapitaltäckningskrav för bankerna. Med anledning av hur marknaden har utvecklats med nyafinansieringsalternativ och införandet av Basel III - regelverket vill vi undersöka hurfastighetsbolagen resonerar kring finansiering i nuläget. Syfte: Syftet med studien är att undersöka om de svenska börsnoterade fastighetsbolagens valav finansiering har förändrats efter finanskrisen 2008.Avgränsning: Studien bortser från fastighetsbolag som inte är börsnoterade och verksamheterutanför Sverige. Studien bortser också från de delar av kapitalmarknaden som inte berörfastighetsbolag och därför inte är aktuella för studien. Studien går igenom Basel III -regelverket som en följd av finanskrisen men vi kommer inte gå in djupare på orsaken tillfinanskrisen. Metod: Vi har gjort en kvalitativ studie på tre svenska börsnoterade fastighetsbolag. Slutsats: Basel III har enligt vår studie inte påverkat fastighetsbolagens tillgång till kapital pådet sättet som tidigare studier pekat på. Förändringen på marknaden beror på flera faktorer isamverkan som alla påverkat fastighetsbolagens val av finansiering. Vi kommer fram till attPecking order teorin inte är aktuell längre eftersom olika finansieringsalternativ idagkombineras för att diversifiera finansieringsrisken. Marknaden har förändrats sedan Peckingorder teorin utvecklades och det är därför inte längre möjligt att göra analyser på samma sättsom tidigare. Idag påverkas marknaden av flera faktorer samtidigt, vilket innebär attfastighetsbolagens finansieringsbeteende bara är en del av informationen att ta hänsyn till. Anledningen tros bland annat vara att vi idag är mer globalt integrerade än tidigare vilketinnebär att tillgången till information är större. Dessutom påverkas marknaden av flerstörningar nu än tidigare. Räntederivat, certifikatprogram och preferensaktier är alla nyafinansieringsalternativ som används av fastighetsbolagen och som inte tas upp i Pecking order teorin.

Introduktion: Historiskt sett har de svenska företagens lånebaserade finansiering mestadels utgjorts av banklån. Efter finanskrisen 2008 har bankerna tvingats till att minska utlåningen när de numera jobbar utefter det nya regelverket Basel III. Rapporter från bland annat riksbanken och svenskt näringsliv menar att detta regelverk kommer att slå hårdast mot svenska små bolag. Forskning inom området menar att den svenska marknaden för företagsobligationer inte fått den utveckling den borde haft. Syfte: Syftet med denna studie är att söka en förståelse till varför den svenska marknaden för företagsobligationer förefaller att vara underutvecklad bland små bolag, samt att undersöka urvalets lämplighet för ett framtida inträde på den svenska företagsobligationsmarknaden. För att styrka uppsatsens resultat kommer studien även att inkludera ett jämförelseindex hämtat från Large Cap.   Metod: För att infria studiens syfte har en metodtriangulering tillämpats. Empirin har delvis samlats in genom semistrukturerade intervjuer med aktörer listade på svenska Small Cap.  En intervjuguide utformades på basis av studiens förda problematik och teoretiska referensram. Empirin har även samlats in genom en multipel regressions analys i syfte att undersöka urvalets lämplighet för ett framtida inträde på den svenska företagsobligationsmarknaden.  Slutsats: Resultatet vi erhöll från studien är att den svenska marknaden för företagsobligationer fortfarande är underutvecklad. Studien visade att de mindre bolagens kunskap till marknaden är bristfällig och att bankernas nya roll som intermediär skapar informationsasymmetrier och således stora transaktionskostnader. Studien kan även konkludera att företags storlek, mätt i totala tillgångar, skulle kunna utgöra en företagsspecifik variabel som kan förklara en otillräcklig kreditvärdighet för ett eventuellt inträde på företagsobligationsmarknaden. / Introduction: Historically, the Swedish companies' loan-based financing mostly consists of bank loans. After the 2008 financial crisis, banks have been forced to reduce lending as they now work along the new Basel III regulations. The Swedish Riksbank and the Swedish business community believe that this regulation will hit hardest towards smaller companies. Researches in the field believe that the Swedish corporate bond market did not receive the development it ought to have been. Aim: The purpose of this study is to seek an understanding of why the Swedish corporate bond market seems to be underdeveloped among small companies and also to examine the future suitability regarding a future entry on the Swedish corporate bond market, for the selection. To put the study results into perspective, the study will include a benchmark gathered from the Large Cap. Method: To meet the study objective, a method triangulation is applied. The empirical data has partly been collected through semi-structured interviews with actors listed on the Swedish Small Cap. An interview guide was designed on the basis of the study´s problematization and theoretical framework. The empirical data is also collected through a multiple regression analysis, in order to examine the sample suitability for future entry into the Swedish corporate bond market. Conclusion: The results we obtained from this study is that the Swedish corporate bond market is still underdeveloped. The study showed that the smaller companies knowledge of the market is insufficient and that the banks' new role as intermediate are creating information asymmetries and henceforth high transaction costs. The study may also conclude that the company's size, measured in total assets, could provide a firm-specific variable that can explain an inadequate credit rating for a possible entry into the corporate bond market.

Die Risikoprämie einer Unternehmensanleihe dient prinzipiell der wirtschaftlichen Kompensation für die Übernahme zusätzlicher Risiken gegenüber den Risiken der Benchmark. Allerdings findet sich in der bisher veröffentlichen Literatur eine Vielzahl von den praktischen Messkonzepten, die in vielen Fällen nicht fehlerfrei und problemlos zustande gekommen sind. Daher ist die präzise und quantitative Messung der Risikoprämien von Unternehmensanleihen eine betriebswirtschaftliche Notwendigkeit. In der vorliegenden Arbeit werden im Hinblick auf die Erreichbarkeit drei alternative Messkonzepte bezüglich der Risikoprämien von Unternehmensanleihen vorgestellt und miteinander verglichen. Einige bisherige Studien sind der Auffassung, dass die Risikoprämien von Unternehmensanleihen zumeist von den Nicht-Kreditkomponenten beeinflusst werden. Um diese Marktanomalien zu erklären, verwenden die vorliegenden Untersuchungen das statistische lineare Faktor-Modell. In diesem Zusammenhang wird die Untersuchung von LITTERMAN/SCHEINKMAN (1991) auf die risikobehafteten Unternehmensanleihen übertragen. Im Kern steht die Frage, welche Risikoarten bzw. wie viele Einflussfaktoren wirken sich auf die Risikoprämien von Unternehmensanleihen in wieweit aus. Das Ziel ist ein sparsames lineares Faktor-Modell mit wirtschaftlicher Bedeutung aufzubauen. Somit leistet diese Dissertationsschrift einen wesentlichen Beitrag zur Gestaltung der Anleiheanalyse bzw. zur Portfolioverwaltung.

[pt] Este trabalho analisa a relação entre os spreads de crédito e a liquidez das debêntures no Brasil. Através da construção de uma nova base de dados com informações de preços praticados no mercado secundário extraídas manualmente das principais corretoras de crédito privado do país, foi criada uma variável de liquidez – o bid-ask spread - como em Chen, Lesmond e Wei (2007). Com essa variável, em um primeiro momento foi estudada a relação entre o nível dos spreads de crédito e a liquidez das debêntures. Em um segundo momento, o artigo analisa o impacto da liquidez das debêntures sobre a variação de seus spreads de crédito em um ambiente de vendas forçadas. / [en] This paper analyzes the relationship between credit spreads and the liquidity of corporate bonds in Brazil. Through the construction of a new database with prices traded in the over-the-counter market, a liquidity variable was created - the bid-ask spread - as in Chen, Lesmond and Wei (2007). With this variable, the relationship between the level of the spreads and the liquidity of the corporate bonds was studied. After that, the article analyzes the impact of the liquidity of the corporate bonds on the variation of their spreads in an asset fire sales environment.

Made available in DSpace on 2010-04-20T21:00:46Z (GMT). No. of bitstreams: 3 pauloegoncalves.pdf.jpg: 19894 bytes, checksum: aac32a2c332bd28f3dd61f44e54281ec (MD5) pauloegoncalves.pdf: 378018 bytes, checksum: f1e23caa525f3c98db167d58ca96383c (MD5) pauloegoncalves.pdf.txt: 127200 bytes, checksum: 11a85125f53d6afbd6ccef2c1605fc68 (MD5) Previous issue date: 2007-12-11T00:00:00Z / O objetivo desse trabalho é analisar e precificar o prêmio de liquidez exigido pelos investidores nas negociações de debêntures do mercado secundário brasileiro, com base no yield to maturity diário desses papéis. Os testes econométricos foram realizados com base no modelo apresentado por Houweling, Mentink e Vorst (2005) e aplicado ao mercado de eurobonds nos períodos de 1999 a 2001. Foi implementado um modelo de 5 variáveis para controlar, através de betas e características, os outros tipos de risco determinantes do spread das debêntures que não a liquidez. O conhecido modelo de títulos de renda fixa de dois fatores Fama-French (1993) foi utilizado para controlar os riscos de crédito e de taxas de juros, foram incorporados efeitos marginais, através das características individuais (rating e duration) das debêntures e uma adaptação para as particularidades do mercado brasileiro foi realizada, com a inclusão de um fator baseado na taxa PréxDI da duration dos portfólios. Para esse estudo, foram consideradas 4 proxies de liquidez largamente utilizadas na literatura: Volume de Emissão, Idade da Emissão, Número de Transações no dia e Spread de Compra e Venda, sendo o modelo estimado uma vez para cada proxy analisada. Para realizar os testes de regressão e precificar o prêmio de liquidez no mercado secundário de debêntures do Brasil, todas as variáveis do modelo foram calculadas para cada uma das amostras de dados. Posteriormente, para cada proxy de liquidez foram construídos diariamente portfólios mutuamente excludentes, com as debêntures segregadas em portfólios de acordo com a proxy de liquidez em questão, conforme a metodologia proposta por Brennan e Subrahmanyam (1996). A base de dados, que somou 16.083 amostras, se fundamentou nas cotações de mercado fornecidas diariamente pelo Sistema Nacional de Debêntures no período de Maio de 2004 a Novembro de 2006. A hipótese nula de que não existe prêmio de liquidez embutido nos spreads das debêntures negociadas no mercado secundário brasileiro é rejeitada para todas as proxies analisadas. De acordo com a proxy de liquidez utilizada, o prêmio de liquidez no mercado secundário de debêntures varia de 8 a 30 basis points. / The econometric tests were performed based on a model presented by Houweling, Mentink and Vorst (2005) applied to the Eurobonds market for the years 1999 to 2001. A five-variable model was implemented, using betas and characteristics to control for other sources of risks, determinants of the corporate bonds spread, apart from liquidity. The well-known two-factor bond-market Fama-French (1993) model was used to control for credit risk and interest rate risk, the marginal effects were incorporated through individual corporate bonds characteristics (rating and duration) and a factor based on the Swap PréxDI of the portfolios’ duration was included to adapt the model to the peculiarities of the Brazilian bond market. The work contemplated 4 liquidity proxies, which are largely used in the literature: (i) Issued Amount; (ii) Age; (iii) Daily Number of Transactions; (iv) Bid-Ask Spread and the model was estimated once for each of the proxies. In order to proceed with the regression estimates and to price the liquidity premium in the Brazilian secondary bond market, all of the variables were calculated for each one of the samples. Then, for each of the considered proxies, mutually exclusive portfolios were constructed daily, being the corporate bonds aggregated in portfolios sorted according to the liquidity proxy, based on the methodology proposed by Brennan and Subrahmannyam (1996). The data base, which reached 16.083 samples, is based on the daily quotes provided by Sistema Nacional de Debêntures from May, 2004 to November, 2006. The null hypothesis that the liquidity premium is not priced in the Brazilian secondary bond market is rejected for all the liquidity proxies employed. Depending on the liquidity proxy considered, the liquidity premium in the Brazilian corporate bond market ranges from 8 to 30 basis points.