This thesis contain three chapters. Default Risk in Corporate Bond Pricing. This chapter provides a model for how the corporate bond default risk influences the systematic risk and an empirical analysis of the systematic and idiosyncratic parts of U.S. corporate bond returns during 2001-2005. The average corporate bond beta is low and positive (0.06). Investment grade bonds have negative betas (between - 0.01 and -0.13) and non-investment grade bonds have positive betas (between 0.11 and 1.48), but both groups have similar within groups systematic risks. When controls for interest rate and liquidity risks are introduced there are still remaining default probabilities, implying that the default risk is in part systematic and in part idiosyncratic.   Returns to Defaulted Corporate Bonds.   In the second chapter short term excess returns in a sample of 279 defaulted US corporate bonds are tested for using multiple regression analysis. There are robust excess returns after controlling for market and liquidity risk. The expected recovery rate during 2001-2006 is estimated to be, on average, four percentage points lower the first month after default than the present value of the recovery rate after nine months. Capital Structure Choices.   The trade-off and pecking order theories are tested using both established tests from the literature and new tests. The main contributions of this chapter are the new tests of financing of operating net assets (for the pecking order theory), the mean reversion tests (for the trade-off theory) and the test of mean reversion and trends. These tests allow for extended conclusions on the validity of the pecking order versus the tradeoff theory. / <p>Diss. Stockholm : Handelshögskolan, 2008 Sammanfattning jämte 3 uppsatser</p>

[pt] Esta tese fornece uma revisão sistemática da literatura sobre a precificação de títulos corporativos ao redor do mundo. Estes títulos são mecanismos de financiamento essenciais para empresas do mundo inteiro e são primordiais para transferir recursos e fomentar o crescimento económico. O mercado de capitais é um mercado democrático e acessível, onde qualquer pessoa pode se tornar investidor, facilitando assim a criação de riqueza e dinamizando a economia. O processo de precificação de títulos de dívidas corporativas é o foco principal do trabalho, em que vai ser estudado quais são os fatores determinantes do preço desses títulos. Através de uma revisão sistemática da literatura, a pesquisa elucida relações complexas entre a precificação dos títulos, classificações de crédito, indicadores macroeconômicos e características específicas das emissões. A maior contribuição do presente estudo é uma tabela final que categoriza os fatores de determinação do preço em: corporativos, da emissão, de liquidez e macroeconômico/de mercado. Essa categorização é importante para servir de guia para trabalhos futuros. A literatura existente carece de revisões abrangentes sobre os fatores que influenciam os preços dos títulos corporativos de dívida e há uma notável ausência de categorizações destes fatores. / [en] This thesis provides a systematic literature review on the pricing of corporate bonds worldwide. These securities are essential financing mechanisms for companies worldwide and are vital to transfer resources and catalyze economic growth. The democratizing potential of capital markets is highlighted, emphasizing that anyone can become an investor, thus facilitating wealth creation and boosting the national economy. The main exploration of the study is the bond pricing process in financial markets, focusing on the determinants of the price of these securities. Through a systematic review of selected literature, the research elucidates complex relationships between bond valuation, credit ratings, macroeconomic indicators, and specific bond characteristics. The greatest contribution is a final table that categorize the factors into corporate, issuance, liquidity and macroeconomic/market. This categorization is important to serve as a guide for future works. The existing literature lacks comprehensive reviews on the factors influencing corporate bond prices, and there is a notable absence of categorizations of these factors.