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Einflussfaktoren auf den Credit Spread von Unternehmensanleihen

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  • Gann, Philipp
  • Laut, Amelie

Abstract

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.

Suggested Citation

  • Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
  • Handle: RePEc:lmu:msmdpa:4231
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    References listed on IDEAS

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    1. Schaetzle, Dominik, 2011. "Ratingagenturen in der neoklassischen Finanzierungstheorie: Eine Auswertung empirischer Studien zum Informationsgehalt von Ratings," Arbeitspapiere 110, University of Münster, Institute for Cooperatives.
    2. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.

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    More about this item

    Keywords

    Credit Spread; Zinsstrukturkurve; Zero Rate; Rating; Corporate Bond; Swap Rate; Strips; Subprimekrise;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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