01918cas a2200253 a 4500 AALejournalIMF009559 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451867923 1018-5941 BD-DhAAL BD-DhAAL Cavallo, Eduardo. The Determinants of Corporate Risk in Emerging Markets : An Option-Adjusted Spread Analysis / Eduardo Cavallo, Patricio Valenzuela. Washington, D.C. : International Monetary Fund, 2007. 1 online resource (24 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line with the sovereign ceiling "lite" hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding. Mode of access: Internet Valenzuela, Patricio. IMF Working Papers; Working Paper ; No. 2007/228 Full text available on IMF http://elibrary.imf.org/view/journals/001/2007/228/001.2007.issue-228-en.xml IMF e-Library