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Determinants of European Corporate Bond Funds’ Risk Premiums: A comparative analysis of Financial and Economic models
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Orientador(es)
Resumo(s)
This thesis explores the determinants of risk premiums in European corporate bond funds
through a comparative analysis of financial and economic models. Making use of an extensive
data set and panel data analysis, this study evaluates the influence of both financial factors
and macroeconomic variables on the risk premiums of selected bond funds. The financial
model applied is the Fama and French Six Factor model, while the economic model
encompasses variables like GDP growth, exchange rates, inflation, etc. Econometric testing
and forecasting provide significant insights into the dynamics driving risk premiums. The
findings underscore the pivotal role of macroeconomic conditions in shaping investor
perceptions and market outcomes. These results offer valuable guidance for investors and
policymakers aiming to enhance market efficiency and stability in the European corporate
bond market.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Corporate Bond Funds Investment Portfolios Macroeconomic variables Financial Factors Panel Data analysis Forecasting SDG 8 - Decent work and economic growth