Work detail

Pricing of bonds and credit default swaps: Evidence from a panel of European companies

Author: Mgr. Eva Smotlachová
Year: 2016 - summer
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Consultants:
Work type: CSF - Corporate Strategy and Finance
Masters
Language: English
Pages: 97
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/178384/
Abstract: The aim of the thesis is to investigate determinants of corporate bond and CDS contract pricing
using a sample of 34 European companies over the period 2008-2014. This work extends
existing literature by studying differences in determinants of bond and CDS spreads not only
for different time periods, but also for different sets of companies grouped by geography,
industry, and profitability. The results reveal that bond and CDS spreads are generally
influenced by similar factors, with a company’s credit rating being the most influential factor.
Nevertheless, the investigation of time-specific estimations suggests that firm-specific factors
play a more significant role in pricing bonds, whereas market factors have a higher impact on
CDS spreads. The analysis of the subsamples reveals substantial differences in regression
results for individual groups of companies, which suggests a presence of idiosyncratic factors.
Our conclusion is that the pricing of bonds and CDS contracts is not only time-dependent, but
also unique for different groups of companies, which implies a necessity to use different pricing
models for individual contracts.
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