Year of Graduation
Assessment of Factors Affecting the Risk Premium of Investing in Corporate Bonds
The purpose of this study is assessment of the risk premium of investing in corporate bonds. The statistical sample includes daily data on the results of trading on the Moscow Stock Exchange for the period from 2013 to 2015. All received daily data were averaged over the quarter. It should be noted that the sample for this study includes only the bond issues of the real economy. Thus, the sample used for the analysis includes data on 57 bonds for 12 quarters (560 observations). As part of this work the dependent variable is yield spreads of corporate bonds relative to government. Number of quantitative and qualitative factors are included in this analysis. As a result of the analysis was derived evaluation model of factors affecting the risk premium for investing in corporate bonds. In the regression analysis, the following variables were more significant against the background of other selected variables: the type of the underwriter, the yield of government bonds, machinery industry and the steel industry. As a result, it has been identified deficiencies resulting model, and provides suggestions for improving the model.