Year of Graduation
The Determinants of Corporate Bond Yields in Russia
Financial Markets and Financial Institutions
This paper focuses on the analysis of the determinants of corporate bonds yields in Russia. The research examines the characteristics of bond issues and financial performance of the company, affecting the yield spread. The issues of Russian corporate bonds are analyzed during the period from January 2008 to December 2015 inclusive, except bonds issued by banks. Using these data, regression model with random effects was constructed; it describes the dependence of the corporate bonds yield spreads from the liquidity bonds variables, from issue characteristics, from the credit quality of the issue and the issuer, from the industry in which the company operates, and from the company's financial performance. The study identified 11 from 23 significant variables, and 8 hypotheses regarding their impact on the profitability of the bonds were confirmed. This work is the basis for a more detailed analysis of the impact on the corporate bonds yield spread by individual variables.