• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Alisa Omukova
Assessment of Factors Affecting the Risk Premium of Investing in Corporate Bonds
Finance
(Master’s programme)
8
2016
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.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses