Yield spread på den svenska företagsobligationsmarknaden - En kvantitativ studie om förhållandet mellan yield spread och företagsspecifika variabler på den svenska obligationsmarknaden

Abstract

Purpose: The purpose of the study is to explain how company-specific factors affect yield spread on the Swedish corporate bond market, a market that has grown significantly over the past decade. Theory: The theoretical frame of reference is based on research articles published in recognized journals that primarily deal with credit risk but also other risk components that affect the yield spread. The theory motivates and explains the variables used in the study. Method: The study is a quantitative study that is based on a deductive approach. Time series regressions have been conducted with panel data as the basis. Data for the Swedish corporate bond market has been collected quarterly between the period Q4 2014-Q4 2017, where 26 bonds issued by 26 different companies are examined. Results and conclusion: The study's results show that the companies 'credit rating and the key ratio Net Debt / EBITDA have a direct impact on the yield spreads of the selected companies' bonds. Furthermore, the study cannot reject the zero hypotheses that Leverage & Market value affects yield spread, which may be due to the empirical design of the study.