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LUND UNIVERSITY LIBRARIES

The credit spread puzzle in a time of uncertainty and change

Mattsson, Amanda LU and Stenbeck, Wilhelmina LU (2024) NEKH02 20241
Department 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)
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author
Mattsson, Amanda LU and Stenbeck, Wilhelmina LU
supervisor
organization
course
NEKH02 20241
year
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}},
}