The credit spread puzzle in a time of uncertainty and change
(2024) NEKH02 20241Department of Economics
- Abstract
- The credit spread puzzle has long been a well-researched topic within the literature of fixed income securities, focusing on the factors contributing to credit risk to explain credit spreads. This study provides a new perspective on the subject by specifically examining corporate bonds issued by Swedish real estate companies during the years 2019 to 2023. It is investigated whether explanatory variables identified in prior research are applicable in this context and whether additional sector-specific variables can further explain the credit spreads. The selected variables are tested using a pooled OLS regression model. Our findings confirm that the established theoretical framework is applicable to this setting. Moreover, we identify two... (More)
- The credit spread puzzle has long been a well-researched topic within the literature of fixed income securities, focusing on the factors contributing to credit risk to explain credit spreads. This study provides a new perspective on the subject by specifically examining corporate bonds issued by Swedish real estate companies during the years 2019 to 2023. It is investigated whether explanatory variables identified in prior research are applicable in this context and whether additional sector-specific variables can further explain the credit spreads. The selected variables are tested using a pooled OLS regression model. Our findings confirm that the established theoretical framework is applicable to this setting. Moreover, we identify two sector-specific variables, property acquisitions and vacancy rate, that show a statistically significant positive correlation with credit spreads, contributing new insights to the understanding of credit risk factors in the real estate sector. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9158040
- author
- Mattsson, Amanda LU and Stenbeck, Wilhelmina LU
- supervisor
- organization
- course
- NEKH02 20241
- year
- 2024
- type
- M2 - Bachelor Degree
- subject
- keywords
- The credit spread puzzle, credit spreads, credit risk, corporate bonds, real estate, cyclical variables, volatility, interest rates.
- language
- English
- id
- 9158040
- date added to LUP
- 2024-09-24 09:05:57
- date last changed
- 2024-09-24 09:05:57
@misc{9158040, abstract = {{The credit spread puzzle has long been a well-researched topic within the literature of fixed income securities, focusing on the factors contributing to credit risk to explain credit spreads. This study provides a new perspective on the subject by specifically examining corporate bonds issued by Swedish real estate companies during the years 2019 to 2023. It is investigated whether explanatory variables identified in prior research are applicable in this context and whether additional sector-specific variables can further explain the credit spreads. The selected variables are tested using a pooled OLS regression model. Our findings confirm that the established theoretical framework is applicable to this setting. Moreover, we identify two sector-specific variables, property acquisitions and vacancy rate, that show a statistically significant positive correlation with credit spreads, contributing new insights to the understanding of credit risk factors in the real estate sector.}}, author = {{Mattsson, Amanda and Stenbeck, Wilhelmina}}, language = {{eng}}, note = {{Student Paper}}, title = {{The credit spread puzzle in a time of uncertainty and change}}, year = {{2024}}, }