Determinanten der Credit Spread Veränderungen von deutschen Mittelstandsanleihen
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Determinanten der Credit Spread Veränderungen von deutschen Mittelstandsanleihen
Kinateder, Harald | Oppolzer, Linda | Wagner, Niklas
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 1 : pp. 121–147
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Dr. Harald Kinateder, Universität Passau, Lehrstuhl für Finanzcontrolling, Innstraße 27, 94032 Passau
Linda Oppolzer, Price Waterhouse Coopers, München
Professor Dr. Niklas Wagner, Universität Passau, Lehrstuhl für Finanzcontrolling, Innstraße 27, 94032 Passau
Cited By
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The Issuance of German SME Bonds and its Impact on Operating Performance
Feihle, Patrick Christian
Lawrenz, Jochen
Schmalenbach Business Review, Vol. 18 (2017), Iss. 3 P.227
https://doi.org/10.1007/s41464-017-0036-9 [Citations: 6]
Abstract
The Determinants of Credit Spread Changes of German SME Bonds
Recently, numerous Germany-based small and medium enterprises (SMEs) have issued successfully corporate bonds in the capital market. However, this segment of the capital market is still largely unexplored. In this paper we analyze the special features in the pricing of SME bonds by using two samples consisting of corporate bonds of German SMEs and DAX-listed blue chips. Concerning SMEs we find that a reduction of lending by German banks increases the credit spread. However, this relation does not hold for blue chips. Another difference is documented for traditional interest rate determinants. Changes in the steepness of the term structure and the risk-free interest rate have no effect on the change in credit spreads for SMEs, but for blue chips we find a significant relation. In contrast to blue chips, the credit spread increases for SMEs when the bond-specific illiquidity increases. Changes in implied stock market volatility and the economic environment are in both panels significant determinants. Furthermore, a principal components analysis reveals a significantly more pronounced heterogeneity of the non-observable risk factors in SMEs bonds, suggesting a lower integrity of this market segment.
Table of Contents
| Section Title | Page | Action | Price |
|---|---|---|---|
| Harald Kinateder / Linda Oppolzer / Niklas Wagner: Determinanten der Credit Spread Veränderungen von deutschen Mittelstandsanleihen | 1 |