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The Determinants of the Excess Corporate Bond Returns

Student: Sakhabutdinova Liliia

Supervisor: Vladimir V. Rossokhin

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

This study is devoted to the analysis of factors that influence the excess return on Russian corporate bonds. This paper focuses on determinants specific to the Russian corporate bond market. The sample consists of issues of Russian corporate bonds in circulation at the time of analysis, except for bonds issued by the banking sector, insurance companies and other legal entities whose activity is related to the financial sector. On the basis of the sample, an econometric model was constructed for the dependence of corporate bond yield spreads on certain macroeconomic factors, most of which are factors specific to the Russian corporate bond market and factors related to the bond issue.

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