Determinants of Credit Default Swap (CDS) Spreads in Latin America: an Empirical Analysis of Corporate Debt in Public and Private Companies

• Autorzy: Edgardo Cayón , Juan Manuel Perilla
• Języki publikacji: EN

Abstrakty

EN

In this article we have examined the effects of the common determinants of credit quality such as cash, debt, and tangibility on CDS spreads in Latin America. Our sample consists of 50 Latin American companies, while the period under consideration is between 2006 and 2016. Using the panel regression model in which we have controlled for year and company effects, we have found that certain proxies for cash, debt, and tangibility could explain the variation in CDS spreads in publicly traded companies, but not in the case of private companies that trade bonds at international markets. For private companies in Latin America, none of the common determinants for spreads were statistically significant. For public companies, we have found that the most statistically significant proxies for cash, debt, and tangibility explaining the variation in CDS spreads are retained earnings, total debt/total assets, inventories, and fixed assets. Our results show that in the case of private companies of Latin America, the common CDS spreads determinants found in literature do not help explaining the variation in spreads. (original abstract)

Słowa kluczowe

EN

Bonds; Company indebtedness; Panel model; Public companies; Private enterprise

PL

Obligacje; Zadłużenie przedsiębiorstwa; Modele panelowe; Spółki publiczne; Przedsiębiorstwo prywatne

• Czasopismo: Journal of International Studies
• Rocznik: 2018
• Tom: 11
• Numer: nr 4
• Strony: 57--68

Twórcy

autor

Edgardo Cayón

• CESA Business School Colombia

autor

Juan Manuel Perilla

Bibliografia

• Altman, E. I. (2005). An emerging market credit scoring system for corporate bonds. Emerging Markets Review, 6(4), 311-323.
• Balazs, C., & Ivaschenko, I. (2013). Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments. IMF working papers, 1-41.
• Bekaert, G., & Harvey, C. R. (1997). Emerging Equity Market Volatility. Journal of Financial Economics, 43(1), 29-77. doi: http://www.elsevier.com/wps/find/journaldescription.cws_home/505576/description

Identyfikatory

DOI

10.14254/2071-8330.2018/11-4/4