Drivkrafter bakom kreditspreaden för företagsobligationer - En studie på den europeiska utilitysektorn
Sammanfattning: The purpose of this study is to contribute to a better understanding of drivers of the credit spread for European corporate bonds issued by utility companies. The aim of this study is therefore to empirically examine how selected company-specific factors, as well as a macro variable, effect credit spreads. The results might also provide a better understanding of how changes in company structure and country-specific risk affect credit spreads. The paper includes a quantitative study in which the authors examines secondary data and conducts a multiple regression analysis. Chosen variables have been proven relevant in previous research in relation to the credit spreads of corporate bonds. The results of the regression analysis is then interpreted and compared to previous research and theories. The study's underlying theory is the earlier research on the different variables considered to affect the credit spread of corporate bonds. The majority of this research has been performed on the U.S. bond market and has not focused on corporate financial ratios. Basic theory includes corporate capital structure, cost of capital and the risks associated with the bonds. The empirical foundation is based on data from 2011, from a total of 35 companies operating within the European utility sector. All companies have bonds issued in Euro. Furthermore, the study examines five independent variables. The study finds that four independent variables explain 75 % of the variation in European utility company’s credit spreads. The variables are firm- and macro specific and are related to risks associated with default and liquidity.
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