Finance and Credit

Abstracting and Indexing

Referativny Zhurnal VINITI RAS
LCCN Permalink
Google Scholar

Online available



Cyberleninka (12 month OA embargo)

Economic variables impacting the corporate bonds' yield spread of the BRICS countries

Vol. 25, Iss. 5, MAY 2019

Received: 27 February 2019

Received in revised form: 13 March 2019

Accepted: 28 March 2019

Available online: 30 May 2019

Subject Heading: Securities market

JEL Classification: G12, G18, E43, E44

Pages: 1141–1165

Sultanov I.R. Independent Researcher, Moscow, Russian Federation

Subject The article analyzes the impact of economic variables on the yield spread of corporate bonds of the BRICS countries (Brazil, Russia, India, China, South Africa). The list of considered economic variables includes global and macroeconomic variables, indicators of stock market, bond market, issuer and issue specific variables.
Objectives The purpose is to reveal variables that have a significant impact on the yield spread of corporate bonds in the BRICS countries, and identify differences, depending on issuer location.
Methods I selected variables based on literature review and availability of data for research. Then I built econometric models and estimated them by using the least squares method. After that, I built additional econometric models and estimated their parameters. This enabled to unveil differences in the influence of certain variables.
Results The total number of built econometric models of different specifications is 15. I found variables, which have a material effect on the yield spreads of corporate bonds in the BRICS countries. Furthermore, I disclose how the influence of some variables differs, depending on the location of the issuer company.
Conclusions and Relevance In general, the impact of the most variables is consistent with the findings of studies obtained in other corporate bond markets. However, there are some exceptions. Also, there are differences in the impact of some variables subject to issuers' domicile.

Keywords: corporate bond, yield, yield spread, BRICS, bond market


  1. Mansi S., Maxwell W., Miller D. Analyst Forecast Characteristics and the Cost of Debt. Review of Accounting Studies, 2011, vol. 16, iss. 1, pp. 116–142. URL: Link
  2. Shuto A., Kitagawa N. The Effect of Managerial Ownership on the Cost of Debt: Evidence from Japan. Journal of Accounting, Auditing & Finance, 2011, vol. 26, iss. 3, pp. 590–620. URL: Link
  3. Venkiteshwaran V. Are Underrated Bonds Underpriced? Biased Ratings and Corporate Bond Pricing. Banking & Finance Review, 2013, vol. 5, iss. 1, pp. 77–89.
  4. Blankespoor E., Linsmeier T.J., Petroni K.R., Shakespeare C. Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk? Accounting Review, 2013, vol. 88, iss. 4, pp. 1143–1177. URL: Link
  5. Ambrose B.W., Cheng Y., Dolly King T.-H. The Financial Crisis and Temporary Liquidity Guarantee Program: Their Impact on Fixed-Income Markets. Journal of Fixed Income, 2013, vol. 23, iss. 2, pp. 5–26. URL: Link
  6. Militskova T.M. [The impact of specific determinants on corporate bond yield spreads]. Korporativnye finansy = Corporate Finance, 2013, vol. 7, no. 2, pp. 46–63. URL: Link (In Russ.)
  7. Elliott J., Ghosh A., Moon D. Asymmetric Valuation of Sustained Growth by Bond- and Equity-Holders. Review of Accounting Studies, 2010, vol. 15, iss. 4, pp. 833–878. URL: Link
  8. Shaw K. CEO Incentives and the Cost of Debt. Review of Quantitative Finance & Accounting, 2012, vol. 38, iss. 3, pp. 323–346.
  9. Nashikkar A., Subrahmanyam M.G., Mahanti S. Liquidity and Arbitrage in the Market for Credit Risk. Journal of Financial & Quantitative Analysis, 2011, vol. 46, no. 3, pp. 627–656. URL: Link
  10. Cai K. Effect of Being a Fallen Angel on Bond Ratings and Yields. Journal of Trading, 2013, vol. 8, no. 2, pp. 7–13.
  11. Matsui K. Accounting Year-End Dispersion and Seasonality in the Japanese Corporate Bond Market. Applied Economics, 2011, vol. 43, iss. 26, pp. 3733–3744. URL: Link
  12. Michayluk D., Zhao R. Stock Splits and Bond Yields: Isolating the Signaling Hypothesis. Financial Review, 2010, vol. 45, iss. 2, pp. 375–386. URL: Link
  13. Huang H.H., Huang H.-Y., Oxman J.J. Stock Liquidity and Corporate Bond Yield Spreads: Theory and Evidence. Journal of Financial Research, 2015, vol. 38, iss. 1, pp. 59–91. URL: Link
  14. Tsung-Kang Chen, Yi-Ping Liao. The Economic Consequences of Disclosure Quality under SFAS No. 131. Accounting Horizons, 2015, vol. 29, no. 1, pp. 1–22. URL: Link
  15. Han S., Moore W., Shin Y., Yi S. Unsolicited versus Solicited: Credit Ratings and Bond Yields. Journal of Financial Services Research, 2013, vol. 43, iss. 3, pp. 293–319. URL: Link
  16. Chiou C.-L., Hung M.-W., Shu P.-G. Foreign Direct Investment in Emerging Markets: Bondholders' Perspective. Emerging Markets Finance & Trade, 2013, vol. 49, iss. S4, pp. 5–16.
  17. Kecskés A., Mansi S.A., Zhang A. (Jianzhong). Are Short Sellers Informed? Evidence from the Bond Market. The Accounting Review, 2013, vol. 88, no. 2, pp. 611–639. URL: Link
  18. Oikonomou I., Brooks C., Pavelin S. The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings. Financial Review, 2014, vol. 49, iss. 1, pp. 49–75. URL: Link
  19. Hibbert A.M., Pavlova I., Barber J., Dandapani K. Credit Spread Changes and Equity Volatility: Evidence from Daily Data. Financial Review, 2011, vol. 46, iss. 3, pp. 357–383. URL: Link /j.1540-6288.2011.00304.x
  20. Jin Y.C., Gerard G. Announcement Effect on the Credit Spreads of US Dollar Malaysian Bonds. Review of Pacific Basin Financial Markets & Policies, 2011, vol. 14, iss. 3, pp. 449–484. URL: Link
  21. Gopalan R., Song F., Yerramilli V. Debt Maturity Structure and Credit Quality. Journal of Financial & Quantitative Analysis, 2014, vol. 49, iss. 4, pp. 817–842. URL: Link
  22. Chuluun T., Prevost A., Puthenpurackal J. Board Ties and the Cost of Corporate Debt. Financial Management, 2014, vol. 43, iss. 3, pp. 533–568. URL: Link
  23. Mählmann T. Is There a Relationship Benefit in Credit Ratings? Review of Finance, 2011, vol. 15, no. 3, pp. 475–510. URL: Link
  24. Chen T.-K., Liao H.-H., Huang H.-C. Macroeconomic Risks of Supply Chain Counterparties and Corporate Bond Yield Spreads. Review of Quantitative Finance & Accounting, 2014, vol. 43, iss. 3, pp. 463–481.
  25. Batta G., Ganguly A., Rosett J. Financial Statement Recasting and Credit Risk Assessment. Accounting & Finance, 2014, vol. 54, iss. 1, pp. 47–82. URL: Link
  26. Melgarejo M. Does Beating Cash Flow Benchmarks Reduce the Cost of Debt? Investment Analysts Journal, 2014, vol. 43, iss. 80, pp. 25–36. URL: Link
  27. Douglas A.V.S., Huang A.G., Vetzal K.R. Cash Flow Volatility and Corporate Bond Yield Spreads. Review of Quantitative Finance and Accounting, 2014, vol. 46, iss. 2, pp. 417–458. URL: Link
  28. Reilly F.K., Wright D.J., Gentry J.A. An Analysis of Credit Risk Spreads for High Yield Bonds. Review of Quantitative Finance and Accounting, 2010, vol. 35, iss. 2, pp. 179–205. URL: Link
  29. Kang J., Pflueger C.E. Inflation Risk in Corporate Bonds. Journal of Finance, 2015, vol. 70, iss. 1, pp. 115–162. URL: Link
  30. Cenesizoglu T., Essid B. The Effect of Monetary Policy on Credit Spreads. Journal of Financial Research, 2012, vol. 35, no. 4, pp. 581–613.
  31. Hong Y., Lin H., Wu C. Are Corporate Bond Market Returns Predictable? Journal of Banking and Finance, 2012, vol. 36, iss. 8, pp. 2216–2232. URL: Link
  32. Jubinski D., Lipton A.F. Equity Volatility, Bond Yields, and Yield Spreads. Journal of Futures Markets, 2012, vol. 32, no. 5, pp. 480–503. URL: Link
  33. Bao J., Pan J., Wang J. The Illiquidity of Corporate Bonds. Journal of Finance, 2011, vol. 66, no. 3, pp. 911–946. URL: Link
  34. Mcbrady M.R., Mortal S., Schill M.J. Do Firms Believe in Interest Rate Parity? Review of Finance, 2010, vol. 14, iss. 4, pp. 695–726. URL: Link

View all articles of issue


ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 25, Iss. 8
August 2019