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Einflussfaktoren auf den Credit Spread von Unternehmensanleihen

  • Gann, Philipp
  • Laut, Amelie
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    Entgegen früherer Studien, die darauf hinweisen, dass der gesamte Credit Spread eines Bonds durch das mit diesem Bond verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen, dass neben Kreditrisiken noch weitere Faktoren die Höhe des Credit Spreads determinieren. Die vorliegende Arbeit bestätigt diese Erkenntnisse auf einem anderen Weg als die bisher gemachten Forschungsarbeiten, welche üblicherweise auf Basis einer empirischen Dekomposition von Credit Spreads den Einfluss verschiedener Faktoren untersuchen. Anhand eines Samples Euro-denominierter Corporate Bonds wird gezeigt, dass eine modelltheoretische Bewertung von Anleihen nach dem Barwertkalkül auf Basis ratingorientierter Zinsstrukturkurven zu Bepreisungsfehlern führt, welche mit schlechter werdender Ratingeinschätzung ansteigen und durch das makroökonomische Umfeld beeinflusst sind. Dadurch werden zum einen die Grenzen der in Theorie und Praxis weit verbreiteten barwertigen Bewertungslogik von Anleihen auf Basis ratingorientierter Zinsstrukturkurven dargelegt. Zum anderen wird demonstriert, dass die Ratingeinschätzung eines Bonds bzw. Bondemittenten für Investoren nur einen bepreisungsrelevanten Faktor unter weiteren darstellt.

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    Paper provided by University of Munich, Munich School of Management in its series Discussion Papers in Business Administration with number 4231.

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    Date of creation: Jun 2008
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    Handle: RePEc:lmu:msmdpa:4231
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