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Mysteriet på obligationsmarknaden

Björe, David LU ; Nikolovski, Kristian LU and Schramm Holmquist, André LU (2019) FEKH89 20191
Department of Business Administration
Abstract (Swedish)
Syftet med studien är att undersöka sambandet mellan olika riskfaktorer och riskpremiens storlek i företagsobligationer utgivna av nordiska bolag under tidsperioden 2013-2018. För att undersöka studiens syfte används en kvantitativ metod med deduktiv ansats. Studien utgår ifrån tidigare forskning som undersökt vilka riskfaktorer som påverkar storleken av en företagsobligations riskpremie på andra marknader än de som undersöks i denna studie. Studiens urval består av 180 olika obligationer som är aktiva någon gång under tidsperioden 2013-2018. Information för dessa samt deras emitterande bolag har hämtats ifrån Bloomberg terminal. Data för marknadsavkastning har hämtats från Nasdag Nordic och Oslo Börs. Studiens resultat visar på... (More)
Syftet med studien är att undersöka sambandet mellan olika riskfaktorer och riskpremiens storlek i företagsobligationer utgivna av nordiska bolag under tidsperioden 2013-2018. För att undersöka studiens syfte används en kvantitativ metod med deduktiv ansats. Studien utgår ifrån tidigare forskning som undersökt vilka riskfaktorer som påverkar storleken av en företagsobligations riskpremie på andra marknader än de som undersöks i denna studie. Studiens urval består av 180 olika obligationer som är aktiva någon gång under tidsperioden 2013-2018. Information för dessa samt deras emitterande bolag har hämtats ifrån Bloomberg terminal. Data för marknadsavkastning har hämtats från Nasdag Nordic och Oslo Börs. Studiens resultat visar på kreditrisk, återstående löptid, skuldtäckningsgrad samt marknadsavkastning har en påverkan på riskpremien samt att denna är i linje med vad tidigare forskning har visat på. Studien visar också på att likviditetsrisk, kupongränta och finansiell hävstång inte har något statistiskt säkerställt samband med riskpremien. (Less)
Abstract
The purpose of this thesis is to investigate the relationship between a number of risk factors and the size of the yield spread of corporate bonds issued by Nordic companies during the time period 2013-2018. In order to investigate this thesis’ purpose, a quantitative method and deductive approach has been employed. This thesis is based on previous research which has investigated what different risk factors that have an impact on the yield spread of corporate bonds issued by companies active on other markets than those included in this thesis. The sample on which the analysis is being based is comprised of 180 different corporate bonds active some time during the time period 2013-2018. The data associated with these are sourced from... (More)
The purpose of this thesis is to investigate the relationship between a number of risk factors and the size of the yield spread of corporate bonds issued by Nordic companies during the time period 2013-2018. In order to investigate this thesis’ purpose, a quantitative method and deductive approach has been employed. This thesis is based on previous research which has investigated what different risk factors that have an impact on the yield spread of corporate bonds issued by companies active on other markets than those included in this thesis. The sample on which the analysis is being based is comprised of 180 different corporate bonds active some time during the time period 2013-2018. The data associated with these are sourced from Blomberg terminal. Data regarding market returns is sourced from Nasdaq Nordic and Oslo Börs. The results of the thesis show that default risk, time to maturity, debt coverage ratio and market returns have an impact on the size of the yield spread. However, the thesis also shows that neither liquidity risk, financial leverage nor coupon rate have a statistically significant impact on the yield spread. (Less)
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author
Björe, David LU ; Nikolovski, Kristian LU and Schramm Holmquist, André LU
supervisor
organization
course
FEKH89 20191
year
type
M2 - Bachelor Degree
subject
keywords
Corporate bonds, Yield spread, Default risk, Liquidity risk, Credit spread puzzle
language
Swedish
id
8988602
date added to LUP
2019-10-10 13:42:29
date last changed
2019-10-10 13:42:29
@misc{8988602,
  abstract     = {The purpose of this thesis is to investigate the relationship between a number of risk factors and the size of the yield spread of corporate bonds issued by Nordic companies during the time period 2013-2018. In order to investigate this thesis’ purpose, a quantitative method and deductive approach has been employed. This thesis is based on previous research which has investigated what different risk factors that have an impact on the yield spread of corporate bonds issued by companies active on other markets than those included in this thesis. The sample on which the analysis is being based is comprised of 180 different corporate bonds active some time during the time period 2013-2018. The data associated with these are sourced from Blomberg terminal. Data regarding market returns is sourced from Nasdaq Nordic and Oslo Börs. The results of the thesis show that default risk, time to maturity, debt coverage ratio and market returns have an impact on the size of the yield spread. However, the thesis also shows that neither liquidity risk, financial leverage nor coupon rate have a statistically significant impact on the yield spread.},
  author       = {Björe, David and Nikolovski, Kristian and Schramm Holmquist, André},
  keyword      = {Corporate bonds,Yield spread,Default risk,Liquidity risk,Credit spread puzzle},
  language     = {swe},
  note         = {Student Paper},
  title        = {Mysteriet på obligationsmarknaden},
  year         = {2019},
}