Artículos de revistas
Pricing corporate bonds in Brazil: 2000 to 2004
JOURNAL OF BUSINESS RESEARCH, v.62, n.9, p.916-919, 2009
PAIVA, Eduardo Vieira dos Santos
SAVOIA, Jose Roberto Ferreira
This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond`s maturity influence pricing and points out associations of long-term bonds with better rating issues. (C) 2008 Elsevier Inc. All rights reserved.