Impact of the Issuer`s Credit Characteristics on the Yield of High-yield Bonds

Student: Butova Anastasiya

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

Existing researches on the pricing of high-yield bonds have highlighted rating as one of the important factors influencing the yield. Since most Russian issues are not rated, this paper explores the impact of issuer's credit performance as an alternative way to measure credit risk on high-yield bonds yield. The research was carried out using correlation analysis and regression model based on a sample of 126 Russian exchange-traded high-yield bonds issued from 2018 to 2020. The main result of this work is that the issuer’s credit characteristics do not significantly affect the yield, which means that most investors in high-yield bonds do not analyze the credit risk on their own if the bond does not have a rating.

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