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Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?

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  • Blumenstock, Hendrik
  • von Grone, Udo
  • Mehlhorn, Marc
  • Merkl, Johannes
  • Pietz, Marcus
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    Abstract

    Die vorliegende Arbeit untersucht, welche Faktoren einen Einfluss auf die Beurteilung der Zahlungsfähigkeit eines Unternehmens haben. Dazu werden zwei empirische Untersuchungen durchgeführt. Zunächst wird geklärt, welche makroökonomischen Faktoren und unternehmensspezifischen Kennzahlen einen expliziten Einfluss auf die Beurteilung der Zahlungsfähigkeit von Unternehmen haben. Als Indikator für die Bonität eines Unternehmens werden fünfjährige Credit-Default-Swap-Spreads (CDS-Spreads) herangezogen. Es kann gezeigt werden, dass ausgewählte makroökonomische Variablen einen stärkeren Einfluss auf die Preisbildung am CDS-Markt besitzen als Ratings und unternehmensspezifische Kennzahlen. Diejenigen Faktoren, die in der Panel-Studie als signifikant identifiziert werden und täglich messbar sind, werden in einer zweiten Untersuchung auf Wechselwirkungen mit den CDS-Spreads analysiert. Diese Untersuchung gelangt zum Resultat, dass bei kurzfristiger Betrachtung nicht die in der Panel-Analyse als signifikant identifizierten erklärenden Faktoren, sondern die Eigendynamik des CDS-Marktes selbst die größten Auswirkungen auf die Bildung der Marktpreise hat. -- Which factors have an influence on the assessment of companies' financial solvency? The following study answers this question by means of two empirical analyses. At first, it is clarified which macroeconomic factors and company-specific performance figures have explicit influence on the assessment of companies' financial solvency. Credit Default Swap Spreads (CDS Spreads) referring to a five-year period are used as the indicator for companies' credit-worthiness. The analysis concludes that selected macroeconomic variables exhibit a more pronounced influence on price fixing within the CDS market than ratings and companyspecific performance figures. Those factors that are identified as being significant in the panel study and, at the same time, allow for daily measurement, are examined for interdependencies in a second analysis. This analysis concludes that, in short-term view, not the explaining factors that were identified as being significant in the panel study have the greatest influence on the setting of market prices, but the momentum of the CDS market itself has.

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    Bibliographic Info

    Paper provided by University of Bayreuth, Chair of Finance and Banking in its series Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) with number 2012-03.

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    Date of creation: 2012
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    Handle: RePEc:zbw:bayfat:201203

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    Postal: Universitätsstraße 30, 95440 Bayreuth
    Web page: http://www.fiba.uni-bayreuth.de/de/index.html
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    Related research

    Keywords: Bonitätsrisiko; Rating; Credit Default Swaps; CDS-Spread;

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    References

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