Altıok Yılmaz, Ayşe Dilara

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Altiok-Yilmaz, Ayse
Job Title
Profesör
Email Address
ayse.yilmaz@fbu.edu.tr
Main Affiliation
İşletme Bölümü
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Website
ORCID ID
Scopus Author ID
56397140600
Turkish CoHE Profile ID
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WoS Researcher ID
CBE-7431-2022
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    Article
    Citation - WoS: 2
    Citation - Scopus: 1
    Spread Determinants in Corporate Bond Pricing: the Effect of Market and Liquidity Risks
    (Savez Ekonomista Vojvodine, 2022) Altıok Yılmaz, Ayşe Dilara; Altiok-Yilmaz, Ayse; Akben-Selcuk, Elif; İşletme Bölümü
    This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish "A" and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long-term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category.