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International Pricing of Emerging Market Corporate Debt; Does the Corporate Matter?

  • Sonja Keller
  • Ashoka Mody

We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk also matter significantly in a way consistent with theory and experience in mature markets. In contrast, except during periods of financial crisis, country factors play a limited role. These findings go against the supposition that limited information on emerging market firms or significant agency problems prevent firm-level credit discrimination by international investors. The firm-level information capitalization into spreads possibly reflects protection afforded by the exchange listing on international markets.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/26.

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Length: 38
Date of creation: 01 Jan 2010
Date of revision:
Handle: RePEc:imf:imfwpa:10/26
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