Sovereign bond spreads and extra-financial performance: An empirical analysis of emerging markets

Margaretic, Paula and Pouget, Sébastien (2018) Sovereign bond spreads and extra-financial performance: An empirical analysis of emerging markets. International Review of Economics & Finance, 58. pp. 340-355.

Full text not available from this repository.
Official URL: http://tse-fr.eu/pub/33242

Abstract

This paper studies the impact of a country's extra-financial performance on its sovereign bond spreads. Sovereign bond spreads reflect both an economic default risk and a strategic default risk. We hypothesize that a country's extra-financial performance reduces default risk by signalling good commitment ability. We test this hypothesis for the countries which bonds are included in the JP Morgan Emerging Markets Bond Index Global. Over the period from 2001 to 2010, we find that an emerging country's average cost of capital decreases with its governance and social performance. Furthermore, we demonstrate that a good social performance signals an emerging economy's long-term orientation and commitment to repay its debt in the future.

Item Type: Article
Language: English
Date: November 2018
Refereed: Yes
Uncontrolled Keywords: Sovereign bonds, Spreads, Default risk, Environmental performance, Social performance, State governance
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse), TSM Research (Toulouse)
Site: UT1
Date Deposited: 21 Jan 2019 13:19
Last Modified: 28 Jun 2019 09:23
OAI ID: oai:tse-fr.eu:33242
URI: http://publications.ut-capitole.fr/id/eprint/30821

Actions (login required)

View Item View Item