| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 747.96 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper examines the pricing of structured finance (SF) – asset-backed securities (ABS),
mortgage-backed securities (MBS), and collateralized debt obligations (CDO) – and straight debt
finance transactions. Using a cross-section of 24,525 European bonds issued by financial and
nonfinancial firms in the 2000–2016 period, we show that although ratings are the most important
pricing determinant for SF and corporate bonds (CB) at issuance, investors rely on other
contractual, macroeconomic, and firms’ characteristics beyond these ratings. We find that CDO
tranches have, on average, higher credit spreads than similarly rated CB, while investors are not
compensated for facing higher systematic risk components in relation to investment-grade ABS
and MBS. Our results also support the hypothesis of SF transactions as mechanisms of reducing
funding costs: SF transactions’ weighted average spread is lower than that of comparable CB and
originating firms’ creditworthiness does not deteriorate when compared to a sample of matched
firms.
Descrição
Palavras-chave
Debt pricing Structured finance Corporate bonds Mispricing Cost of funding
Contexto Educativo
Citação
Marques, M.O., Pinto, J.M (2020). A comparative analysis of ex ante credit spreads structured finance versus straight debt finance. Journal of Corporate Finance, 62
Editora
Elsevier