Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?

Robert F. Dittmar · Kathy Zhichao Yuan

124 citations0/0 files storedReview of Financial Studies

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Financial Markets and Investment Strategies Corporate Finance and Governance

Abstract

We analyze the impact of emerging-market sovereign bonds on emerging-market corporate bonds by examining their spanning enhancement, price discovery, and issuance effects. We find that the effect of spanning enhancement is positive and large; over one-fifth of the information in corporate yield spreads is traced to innovations in sovereign bonds; and most of these effects are due to discovery and spanning of systematic risks. Further, issuance of sovereign bonds, controlling for endogeneity of market-timing decisions, lowers corporate yield and bid-ask spreads. Our results indicate that sovereign securities act as benchmarks and suggest they promote a vibrant corporate bond market.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 124 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1991Common Factors Affecting Bond Returns 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots 1991Implications of Security Market Data for Models of Dynamic Economies 1990Implications of Security Market Data for Models of Dynamic Economies 2007Corporate Yield Spreads and Bond Liquidity 2007Liquidity and Expected Returns: Lessons from Emerging Markets

Cited by

2016Diversifying away the risk of war and cross-border political crisis 2007The Demand for Treasury Debt 2015Political risk and international valuation 2022Oil price shocks and green bonds: An empirical evidence 2012Sovereign debt and corporate borrowing costs in emerging markets 2015The relation between sovereign credit rating revisions and economic growth

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.