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Abstract(s)
No presente trabalho final de mestrado, estuda-se a relação entre o spread e a maturidade de empréstimos sindicados do tipo corporate control loans. Analisa-se, empiricamente, (i) a estrutura temporal dos spreads de crédito para empréstimos em corporate control; (ii) o impacto da crise financeira e consequente crise da dívida soberana em tais spreads de crédito; (iii) as diferenças da estrutura temporal dos spreads de crédito entre a Europa Ocidental e os Estados Unidos; e (iv) se os empréstimos em corporate control são afetados pelos mesmos fatores que outros empréstimos sindicados.
Com base numa amostra de 6.197 empréstimos de corporate control, concedidos entre 1999 e 2013 e com recurso ao método GMM, uma vez que se verificou a existência de endogeneidade entre spread e maturidade, concluiu-se que: (i) a estrutura temporal dos spreads de crédito em corporate control é convexa tanto para US como para a WE; (ii) Em tempos de crise a estrutura temporal mantém-se, tendo o seu declive mais acentuado nos perios pós-crise, tanto para WE como US. (iii) Os empréstimos em corporate control são afetados pelas mesmas variáveis que outros empréstimos sindicados.
In the present dissertation, we focus our study on the relationship between the spread and maturity in corporate control loans. We analyze empirically (i) The time structure of credit spreads for corporate control loans; (i) The impact of the financial crisis and consequent sovereign debt crisis on credit spreads; (ii) the differences in the temporal structure of credit spreads between Western Europe and the United States; and (iv) If corporate control loans are affected by the same factors as other syndicated loans. For a sample of 6,197 corporate control loans granted between 1999 and 2013 and using the GMM method, once it was verified that there is endogeneity between spread and maturity. So we conclude (i) The temporal structure is convex for US and WE; (ii) In times of crisis, the temporal structure remains convex, but the slope is sharper; (iii) The corporate control loans are affected by the same variables like other syndicated loans.
In the present dissertation, we focus our study on the relationship between the spread and maturity in corporate control loans. We analyze empirically (i) The time structure of credit spreads for corporate control loans; (i) The impact of the financial crisis and consequent sovereign debt crisis on credit spreads; (ii) the differences in the temporal structure of credit spreads between Western Europe and the United States; and (iv) If corporate control loans are affected by the same factors as other syndicated loans. For a sample of 6,197 corporate control loans granted between 1999 and 2013 and using the GMM method, once it was verified that there is endogeneity between spread and maturity. So we conclude (i) The temporal structure is convex for US and WE; (ii) In times of crisis, the temporal structure remains convex, but the slope is sharper; (iii) The corporate control loans are affected by the same variables like other syndicated loans.
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Keywords
Corporate control Empréstimos sindicados Spread Maturidade Endogeneidade Determinantes do spread Crise financeira Syndicated loans Maturity Endogeneity Spread determinants Financial crisis