Април 2021
Наслов:THEORY AND PRACTICE OF CORPORATE BONDS IN THE US AND EUROPE
Автор: Никола Поповски, Ленче Петреска, Павлина Стојанова, Меѓународен Славјански Универзитет
УДК број:336.763.3(73) * 336.763.3(4)
ISSN (принт) 1857-9299
ISSN (онлајн) 1857-9302
ABSTRACT: The purpose of this paper is to examine the corporate bonds in the USA
and Europe. Corporate bond portfolios concentrate on investment-grade bonds issued
by corporations which tend to have more credit risk than government or agency-backed
bonds. Corporate bond returns consist of two distinct components: an interest rate
component, which is default-free and anti-cyclical, and a credit spread component, which
is default risky and pro-cyclical. These components are mutually negatively correlated and
their relative importance varies with credit quality. Furthermore, it shows that corporate
bond returns have significant exposures to fluctuations in treasury bond liquidity and
equity market liquidity. Moreover, this liquidity risk is a priced factor for the expected
returns on corporate bonds, and the associated liquidity risk premium help to explain
the credit spread puzzle. In terms of expected returns, the total estimated liquidity risk
premium is around 0.6% per annum for US long-maturity investment grade bonds. For
speculative grade bonds, which have higher exposures to the liquidity factors, the liquidity
risk premium is around 1.5% per annum. There is very similar evidence for the liquidity risk
exposure of corporate bonds for a sample of European corporate bond prices. Corporate
bonds as a source of financing of companies are more used in USA, than in Europe, where
companies use more traditional forms as a bank loans.
KEYWORDS: corporate bonds, USA, Europe, financing, size, low-risk, value
