Determinantes dos spreads de empréstimos sindicatos

: evidência empírica para operações de LBOs

Abstract

In this dissertation we analyze (i) the factors that explain credit spreads in LBO transactions; (ii) if credit spreads in LBO transactions changes significantly between transactions carried out in bank versus market based countries; (iii) if the term structure of spreads in LBO transactions are similar to those in project finance transactions; and (iv) the impact of the 2007/2008 financial crisis and the subsequent sovereign debt crisis in the pricing of these loans. Based on a sample of 9.201 tranches of syndicated loans to LBO transactions, closed during the 2000-2013 period, it was found that the maturity, rating, the type of financial system and crisis have a positive and significant impact on credit spread. Contrary, the relationship between the credit spread and the tranche size, the loan-to-value, the number of tranches, the currency risk, the number of banks in the syndicate, the type of interest rate, the risk-free interest rate and the slope of interest rate curve is significant and negative. It was also found that the credit spread is significantly affected by the type of country´s financial system where the operation is developed (being higher in transactions carried out in market based countries) as well as by the financial crisis. Finally, it was found a convex term structure of spreads for LBO transactions

Date of Award	4 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	João Pinto (Supervisor)