Pricing and choice of project finance bonds
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/32120 |
Resumo: | This dissertation examines the pricing of project finance (PF) vis-à-vis corporate finance (CF) bonds and studies the factors that influence the sponsors’/issuers’ choice between off-balance sheet PF bonds and on-balance sheet CF bonds. Using a cross-section sample of 763 PF and 46,433 similar CF bonds globally issued between January 1993 and January 2020, we compare credit spreads and pricing factors of the both bond types and analyse their pricing determinants. Findings suggest that, although credit ratings are the most important pricing determinants for both PF and CF bonds at issuance, investors also rely on borrowers’ characteristics as well as on contractual and macroeconomic factors beyond these ratings. The results show that credit spreads for PF and CF bonds are influenced differently by common pricing characteristics. Additionally, we find that PF bonds have, on average, 30.85 bps higher credit spreads than CF bonds. This difference decreases to 19.15 bps when we include sponsors’/issuers’ characteristics in the pricing analysis. Publicly traded firms that prefer PF to CF are smaller, less profitable, less creditworthy and have lower asset tangibility. Finally, our results also document that issuers use PF to raise relatively larger amounts of debt and seek long-term funding. |
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Pricing and choice of project finance bondsProject finance bondsCredit spreadsCorporate bondsDebt financing choiceSpreads de créditoEscolha de financiamento por dívidaDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation examines the pricing of project finance (PF) vis-à-vis corporate finance (CF) bonds and studies the factors that influence the sponsors’/issuers’ choice between off-balance sheet PF bonds and on-balance sheet CF bonds. Using a cross-section sample of 763 PF and 46,433 similar CF bonds globally issued between January 1993 and January 2020, we compare credit spreads and pricing factors of the both bond types and analyse their pricing determinants. Findings suggest that, although credit ratings are the most important pricing determinants for both PF and CF bonds at issuance, investors also rely on borrowers’ characteristics as well as on contractual and macroeconomic factors beyond these ratings. The results show that credit spreads for PF and CF bonds are influenced differently by common pricing characteristics. Additionally, we find that PF bonds have, on average, 30.85 bps higher credit spreads than CF bonds. This difference decreases to 19.15 bps when we include sponsors’/issuers’ characteristics in the pricing analysis. Publicly traded firms that prefer PF to CF are smaller, less profitable, less creditworthy and have lower asset tangibility. Finally, our results also document that issuers use PF to raise relatively larger amounts of debt and seek long-term funding.Este trabalho compara o pricing de obrigações emitidas em operações de project finance (PF) face a operações de corporate finance (CF), assim como analisa os fatores que influenciam a escolha do promotor/emitente entre estas duas tipologias de financiamento por dívida. Usando uma amostra de 763 obrigações de PF e 46.433 obrigações comparáveis de CF, emitidas globalmente entre Janeiro de 1993 e Janeiro de 2020, comparam-se os spreads de crédito, e os seus determinantes, entre obrigações emitidas em PF (off-balance sheet) e obrigações emitidas diretamente (on-balance sheet) pelas empresas (CF). Concluiu-se que, embora os ratings sejam o determinante mais importante dos spreads, estes também dependem das características dos promotores/emitentes e, ainda, de características contratuais e macroeconómicas. Os resultados demonstram que as variáveis determinantes dos preços das obrigações influenciam de forma diferente o spread das obrigações de PF versus CF. Conclui-se ainda que as obrigações de PF são emitidas com um spread significativamente superior às obrigações de CF, em média 30,85 bps. Esta diferença diminui para 19,15 bps quando são adicionadas as características dos promotores/emitentes às regressões. Com isto, pode-se afirmar que o financiamento através da emissão de obrigações em PF é mais dispendioso do que o financiamento semelhante diretamente pelos promotores destas operações. As empresas que optam por PF em detrimento de CF são de menor dimensão, menos rentáveis e apresentam maior risco de crédito e menor tangibilidade dos seus ativos. Os resultados demonstram ainda que as empresas utilizam o regime de PF para captarem elevados montantes de divida e com maturidades mais longas.Pinto, João Filipe MonteiroVeritati - Repositório Institucional da Universidade Católica PortuguesaGuedes, Sebastião Maria Couceiro da Costa Sousa2021-02-25T16:03:07Z2020-09-3020202020-09-30T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/32120TID:202561887enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:37:34Zoai:repositorio.ucp.pt:10400.14/32120Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:25:52.829004Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Pricing and choice of project finance bonds |
title |
Pricing and choice of project finance bonds |
spellingShingle |
Pricing and choice of project finance bonds Guedes, Sebastião Maria Couceiro da Costa Sousa Project finance bonds Credit spreads Corporate bonds Debt financing choice Spreads de crédito Escolha de financiamento por dívida Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Pricing and choice of project finance bonds |
title_full |
Pricing and choice of project finance bonds |
title_fullStr |
Pricing and choice of project finance bonds |
title_full_unstemmed |
Pricing and choice of project finance bonds |
title_sort |
Pricing and choice of project finance bonds |
author |
Guedes, Sebastião Maria Couceiro da Costa Sousa |
author_facet |
Guedes, Sebastião Maria Couceiro da Costa Sousa |
author_role |
author |
dc.contributor.none.fl_str_mv |
Pinto, João Filipe Monteiro Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Guedes, Sebastião Maria Couceiro da Costa Sousa |
dc.subject.por.fl_str_mv |
Project finance bonds Credit spreads Corporate bonds Debt financing choice Spreads de crédito Escolha de financiamento por dívida Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Project finance bonds Credit spreads Corporate bonds Debt financing choice Spreads de crédito Escolha de financiamento por dívida Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This dissertation examines the pricing of project finance (PF) vis-à-vis corporate finance (CF) bonds and studies the factors that influence the sponsors’/issuers’ choice between off-balance sheet PF bonds and on-balance sheet CF bonds. Using a cross-section sample of 763 PF and 46,433 similar CF bonds globally issued between January 1993 and January 2020, we compare credit spreads and pricing factors of the both bond types and analyse their pricing determinants. Findings suggest that, although credit ratings are the most important pricing determinants for both PF and CF bonds at issuance, investors also rely on borrowers’ characteristics as well as on contractual and macroeconomic factors beyond these ratings. The results show that credit spreads for PF and CF bonds are influenced differently by common pricing characteristics. Additionally, we find that PF bonds have, on average, 30.85 bps higher credit spreads than CF bonds. This difference decreases to 19.15 bps when we include sponsors’/issuers’ characteristics in the pricing analysis. Publicly traded firms that prefer PF to CF are smaller, less profitable, less creditworthy and have lower asset tangibility. Finally, our results also document that issuers use PF to raise relatively larger amounts of debt and seek long-term funding. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-09-30 2020 2020-09-30T00:00:00Z 2021-02-25T16:03:07Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/32120 TID:202561887 |
url |
http://hdl.handle.net/10400.14/32120 |
identifier_str_mv |
TID:202561887 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131974852411392 |