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Assessment of the Risk Premium of Investing in Corporate Bounds

Student: Mariya Kudryashova

Supervisor: Vladimir V. Rossokhin

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

In the modern world the stock market is one of the mechanisms for redistributing free financial resources, ensuring the development of the economy. Corporate bonds are considered one of the instruments for the functioning of this market: they provide enterprises with resources and help investors preserve and increase capital. In a changing economic environment, investors should be aware of the relationship between risk and yield of bonds, and competently take into account the interaction of various factors and risk premiums. Current trends in economics and politics, instability in the financial markets, and the variety of financial market instruments determine the interest in studying this topic. Despite the rather large attention of researchers to this topic both in Russia and abroad, it remains relevant for study. The paper considers issues of Russian corporate bonds of the real sector of the economy, placed between January 2013 and April 2020. Based on 565 observations, an econometric model is built for the dependence of yield spreads on corporate bonds on the issuer's credit quality, on the industry in which the company operates, on the parameters of the bond issue and on aggregated indicators. The information base was made by the Rusbonds financial portal. The significant conclusion drawn from this study is that the risk premium is affected by all groups of factors: at the output level, at the enterprise level, at the macroeconomic level. The most significant indicators were the issuer's credit rating, the type of underwriter and financial leverage.

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