Spread Determinants in Corporate Bond Pricing: the Effect of Market and Liquidity Risks

dc.authorscopusid 57723251100
dc.authorscopusid 56397140600
dc.authorscopusid 58964943500
dc.contributor.author Altıok Yılmaz, Ayşe Dilara
dc.contributor.author Altiok-Yilmaz, Ayse
dc.contributor.author Akben-Selcuk, Elif
dc.contributor.other İşletme Bölümü
dc.date.accessioned 2025-01-11T13:00:38Z
dc.date.available 2025-01-11T13:00:38Z
dc.date.issued 2022
dc.department Fenerbahçe University en_US
dc.department-temp [Ozdemir-Diliduzgun, Menevse] Bahcesehir Univ, Dept Business Adm, Istanbul, Turkey; [Altiok-Yilmaz, Ayse] Fenerbahce Univ, Dept Int Finance, Istanbul, Turkey; [Akben-Selcuk, Elif] Gebze Tech Univ, Dept Management, Kocaeli, Turkey en_US
dc.description.abstract 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. en_US
dc.description.woscitationindex Social Science Citation Index
dc.identifier.citation 3
dc.identifier.doi 10.2298/PAN171024002O
dc.identifier.endpage 425 en_US
dc.identifier.issn 1452-595X
dc.identifier.issn 2217-2386
dc.identifier.issue 3 en_US
dc.identifier.scopus 2-s2.0-85131207771
dc.identifier.scopusquality Q2
dc.identifier.startpage 407 en_US
dc.identifier.uri https://doi.org/10.2298/PAN171024002O
dc.identifier.uri https://hdl.handle.net/20.500.14627/49
dc.identifier.volume 69 en_US
dc.identifier.wos WOS:000802557900003
dc.identifier.wosquality Q4
dc.language.iso en en_US
dc.publisher Savez Ekonomista Vojvodine en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.scopus.citedbyCount 1
dc.subject Corporate Bond en_US
dc.subject Liquidity Risk en_US
dc.subject Credit Spread en_US
dc.subject Risk Premium en_US
dc.title Spread Determinants in Corporate Bond Pricing: the Effect of Market and Liquidity Risks en_US
dc.type Article en_US
dc.wos.citedbyCount 2
dspace.entity.type Publication
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