Common Factors in Emerging Market Spreads
- Topics:
- Investment and Capital Markets
- Tags:
- Bond,
- Emerging Market,
- Emerging Market Bond Debt,
- Financial Services,
- Marketing,
- Marketing Research
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Overview: Emerging market bond debt has become an increasingly important asset class for portfolio managers and, over the last decade, emerged as a key source of funds for emerging market governments. This article investigates the extent to which spreads on emerging market sovereign debt react to forces that are common across markets. The analysis yields curve, and to the extensive work in the asset pricing literature on the factors driving equity returns, we use principal factor analysis to determine the number of common factors that drive movements in emerging market bond spreads.
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Format: PDF | Size: 86KB | Date: Dec 2003 | Pages: 14
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