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Author : William Robert Gebhardt
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (516 download)
Download or read book Essays on the Corporate Bond Market written by William Robert Gebhardt and published by . This book was released on 2001 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiaoting Wei
Publisher :
ISBN 13 :
Total Pages : 528 pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays on the Corporate Bond Market written by Xiaoting Wei and published by . This book was released on 2015 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the impact of three corporate events on corporate bond prices in the U.S. Specifically, the first empirical essay examines whether bond prices exhibit delayed reactions to earnings announcements. The second essay examines whether bond prices react to equity analysts' recommendation revisions and the third essay examines whether bond prices react to unexpected dividend changes. The results from the first essay show that the bond price reactions to earnings news are asymmetric, with greater reactions following negative earnings surprises than following positive earnings surprises. This is consistent with the Black-Scholes (1973) bond pricing model. Bond price reactions are also reported to be affected by bond risk. Because issuers of riskier bonds are more likely to face default, earnings news is reported to be more pertinent to the value of riskier bonds.The second essay reports similar asymmetric bond price reactions. The bond price reactions appear to be directed more towards recommendation downgrades than towards upgrades. In addition, riskier bonds tend to exhibit stronger reactions to recommendation revisions than safer bonds do.The third essay documents significant and negative bond price reactions to dividend cuts and the significant reactions of speculative-grade (riskier) bonds to dividend changes. The bond price changes are in the same direction as the dividend changes are, which supports the dividend information content hypothesis rather than the wealth expropriation hypothesis, which would predict opposite bond price reactions.
Author : George Theocharides
Publisher :
ISBN 13 :
Total Pages : 288 pages
Book Rating : 4.:/5 (659 download)
Download or read book Two Essays on the Corporate Bond Market written by George Theocharides and published by . This book was released on 2006 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of twopapers. The first paper examines the propagation of firm-specific shocks as well as market-wide shocks between 1995-2003 using Treasury and corporate bond market data. It then tests the implications of previously proposed models of contagion. I find little support for the industry and counterparty structure hypothesis, suggesting that fundamentals do not generate contagion. Consistent with the information transmission, rebalancing, and liquidity-shock hypotheses, I find evidence of flight to quality during the event periods. However, in contrast to the prediction of the liquidity-shock channel, the corporate bond market, on average, seems to be more liquid during event periods (evidenced by higher trading volume, trading frequency, and mean bond age). Furthermore, there are no significant changes in the trading of assets with the low transaction costs, which is contrary to the rebalancing theory. These findings are more in favor of the correlated information channel as a means of inducing contagion. The second paper examines the effect of liquidity on corporate bond prices using the newly formed TRACE data set. In the spirit of Acharya and Pedersen's (2005) liquidity-adjusted capital asset pricing model (LCAPM), I examine the impact of multiple sources of risk on corporate bond prices. The results do not lend strong support for the existence of liquidity risk in the corporate bond market or for the LCAPM, especially when liquidity is captured using the trading frequency, trading volume, and turnover. Contrary to the predictions of the LCAPM, more illiquid portfolios do not have higher values for the three liquidity betas; betas that capture the commonality in liquidity with the market, the sensitivity in returns with the market-wide liquidity, and the liquidity sensitivity with the market returns. Furthermore, after running cross-sectional regressions I do not find strong evidence either for the validity of the model or that liquidity risk does matter for the corporate bond prices.
Author : Paul-Olivier Klein
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (12 download)
Download or read book Essays on the Corporate Bond Markets written by Paul-Olivier Klein and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the corporate bond market. Results emphasize the role of legal environment and governance. The first chapter demonstrates the role of creditors' protection and information on the corporate bond market. It identifies a non-homogenous impact across firms. The second chapter uses a meta-analysis to scrutinize the effect of a bond offering on the firm's value. It stresses the reasons underlying diverging results in the literature so far. The third chapter focuses on the Chinese corporate bond market and highlights the role of state and management ownership on the value created by a bond offering. The fourth chapter isolates a religious bias from professional investors and contributes to the literature on the impact of behavioural biases on the firm's value.
Author : Fan Chen
Publisher :
ISBN 13 :
Total Pages : 350 pages
Book Rating : 4.:/5 (896 download)
Download or read book Essays on Corporate Bond Markets written by Fan Chen and published by . This book was released on 2014 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jens Dick-Nielsen
Publisher :
ISBN 13 : 9788759384473
Total Pages : 122 pages
Book Rating : 4.3/5 (844 download)
Download or read book Three Essays on Corporate Bond Market Liquidity written by Jens Dick-Nielsen and published by . This book was released on 2010 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three essays study the US corporate bond market with special attention to bond liquidity. All essays are empirical studies which rely heavily on the availability of transactions data. Earlier studies had to use quoted bond prices for empirical studies, but with the introduction of the TRACE system and with the following dissemination of transaction prices the data quality on corporate bonds has improved immensely. In the years after 2000 a range of studies assessed the performance of structural credit risk models and found that they were not able to fully explain the size of the average credit spread for corporate bonds. Huang and Huang (2003) suggested (among others) that the remaining non-default-component of the credit spread was an illiquidity premium. Using transaction data this thesis studies the impact of illiquidity and trading frictions on corporate bonds.
Author : Andreas Christian Rapp
Publisher :
ISBN 13 : 9789056685744
Total Pages : 169 pages
Book Rating : 4.6/5 (857 download)
Download or read book Essays on Corporate Bond Market Liquidity and Dealer Behavior written by Andreas Christian Rapp and published by . This book was released on 2018 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brian Mattmann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Three Essays on the Market Microstructure of U.S. Corporate Bond Markets written by Brian Mattmann and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aino Levonmaa
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on the Market for Corporate Bonds written by Aino Levonmaa and published by . This book was released on 2017 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Minchen Zheng
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book Essays on Institutional Investors in Corporate Bond Markets written by Minchen Zheng and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter aims to fill this gap by providing the first empirical evidence of bond return comovement driven by bond ETFs ownership. I find that bond ownership by corporate bond ETFs leads to higher bond return comovement, an increase of 0.26 in the beta of corporate bond return with respect to the aggregate bond portfolio. In contrast, bond ownership by other traditional institutional investors in the corporate bond market like bond mutual funds and insurance companies do not contribute to corporate bond return comovement. Furthermore, this chapter highlights that return comovement is driven by corporate bond ETFs’ creation and redemption activities.
Author : Glen Barry Taksler
Publisher :
ISBN 13 :
Total Pages : 157 pages
Book Rating : 4.:/5 (249 download)
Download or read book Essays in Corporate Bonds and Futures Markets written by Glen Barry Taksler and published by . This book was released on 2002 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yifan Yu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.4/5 (64 download)
Download or read book Essays on Institutional Investors in the Bond Market written by Yifan Yu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters on institutional investors in bond market. Chapter 1 examines duration hedging behavior in corporate bond market by studying investment decisions of life insurance companies, the largest institutional investors in this market. I find that life insurers are tilting their corporate bond portfolios towards bonds with higher duration as interest rates decrease to historical lows since the 2008 financial crisis. This hunt-for-duration behavior is due to life insurers' interest rate risk hedging to ensure better duration matching between their assets and liabilities. I further show that hunt-for-duration by life insurers can drive overpricing of corporate bonds when negative monetary policy surprises hit. Chapter 2 investigates how the risk-based capital (RBC) reform in insurance industry initiated in year 1993 affects life insurers' investment behavior in corporate bonds, and how RBC-induced distortion in insurers' investment practices could have an impact on credit allocation, and ultimately real investment in the economy. Following the reform, I observe that insurers tilt their portfolios towards the lowest rated corporate bonds within a bond risk category defined by the RBC rule. Through shifting insurers' bond demand, I find that the RBC reform changes the credit supply conditions to a particular group of firms: those that have credit ratings barely fitting into a low-risk category and belong to industries where insurers hold more corporate bonds before the reform. Furthermore, I find that these firms take advantage of the more favorable credit allocation conditions to increase investment and employment after the reform. These results highlight a channel through which regulatory reform in insurance industry can bear real consequences.Chapter 3 studies whether life insurers rebalance their bond portfolios during Quantitative Easing (QE) programs initiated by the Federal Reserve (Fed) since the 2008 financial crisis. I find that life insurers sell QE securities and replace them with corporate bonds over certain QE periods. Moreover, life insurers rebalance toward corporate bonds in the lowest rating tier within a risk category defined by the RBC rule under which insurers are regulated. Overall, these findings show that QE's portfolio rebalancing channel can work through the life insurance sector.
Author : Aoran Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Three Essays on the Role of Political Connections in Corporate Finance written by Aoran Zhang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the influence of political connections on corporate financing activities in China. The thesis consists of three chapters. In the first essay, we explore whether and how political connections affect the likelihood of completing a cross-border M&A deal for Chinese publicly listed, but privately-owned enterprises (POEs) and the resulting firm performance. In line with the proposed political connection trade-off theory, we demonstrate that POEs with politically connected top managers are more likely to complete a cross-border M&A deal than POEs with no such connections, but that this comes at the cost of negative announcement returns and subsequent lower accounting performance. These findings support the idea that politically connected top managers engage in empire building behavior at the cost of shareholders' wealth. In the second essay, we examine how political connections influence the likelihood of corporate bond issuance for POEs in China. Using a sample of Chinese POEs from 2007 to 2016, the research shows that politically-connected POEs are more likely to issue corporate bonds as a debt-financing instrument than their non-connected counterparts, and that they achieve lower coupon rates (i.e., lower refinancing costs). On the other hand, this research indicates that corporate bond-issuing POEs in China have weaker corporate governance and a surprisingly higher default probability. Overall, the results show that the corporate bond market in China is strongly distorted by political factors. In the third essay, we study how implicit government guarantees affect the yield spreads of Chinese corporate bonds. We presume that quasi-municipal corporate bonds (so called "Chengtou" bonds), issued by local government financing vehicles (LGFVs), carry an implicit government guarantee. Using a sample of publicly traded corporate bonds between 2010 and 2017, we find that bond investors are significantly less sensitive to bond-specific risks for corporate bonds with an implicit government guarantee: the yield spreads of Chengtou bonds are significantly lower than those of corporate bonds issued by POEs in China. We also find that corporate bonds from Northeast China are riskier than those issued by firms elsewhere in the country. Furthermore, we discover that policy changes introduced by the central government, which were intended to regulate local debt financing activities, significantly reduced the gap in yield spreads between Chengtou bonds and bonds issued by POEs. Overall, the empirical results suggest that implicit government guarantees play a crucial role in corporate debt market and that China's recent policy changes reduce the effectiveness of implicit government guarantees, making corporate bond market more market-oriented.
Author : Yu An
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays in Over-the-counter Markets written by Yu An and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays, which examine several issues in over-the-counter financial markets. The first essay shows that dealers build socially excessive inventories in order to compete for market share. The distortion in pricing is empirically identified using transaction level data in the U.S. corporate bond market. The second essay shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest. A direct implication is that bid-ask spread is a misleading measure of immediacy provision. The third essay introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Specifically, the first essay shows that dealers in over-the-counter markets build socially excessive inventories in order to compete for market share and get the associated intermediation rents. Using the TRACE dataset for the U.S. corporate bond market, I find that, excluding the crisis, the incentive to build inventory raises dealers' bid prices for corporate bonds by an average of 5 basis points. During the crisis, this effect was reversed by 23 basis points of implied additional dealer balance-sheet costs. The second essay, co-authored with Zeyu Zheng, shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest that leads dealers to hold inefficiently high levels of inventory in order to extract additional rents from customers. Because of this, bid-ask spread is a misleading measure of immediacy provision. Our model suggests the use of execution delays as an additional measure of immediacy provision. The third essay, co-authored with Yang Song and Xingtan Zhang, introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Using interdealer trades in the U.S. corporate bond market, we discover new types of intermediation chains that are not formed to mitigate search frictions or to facilitate liquidity provision. Instead, these chains arise when dealers intermediate trades for other dealers in order to unwind positions at a profit.
Author : Yüan Ma
Publisher :
ISBN 13 :
Total Pages : 366 pages
Book Rating : 4.:/5 (34 download)
Download or read book Essays on Corporate Bond Pricing and Insider Trading Regulation written by Yüan Ma and published by . This book was released on 2001 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luis Ceballos
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Essays on Bond Markets written by Luis Ceballos and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three chapters on the topic of bond markets. The first chapter examines the pricing of inflation volatility risk --uncertainty on the unexpected component of inflation-- in the cross-section of expected corporate bond returns. I document a negative and significant inflation volatility risk premium (IVRP) obtained from the difference between high and low-inflation beta portfolios after accounting for common risk factors in the equity and corporate bond markets. Further, I find that the IVRP is partially explained by market risk and alternative measures of monetary policy shocks. Lastly, I show that the IVRP is associated with firms that incur in debt maturity management to mitigate refinancing risks. The second chapter analyzes the systemic impact of massive pension funds' portfolio reallocations triggered by a financial advisory firm in Chile. We analyze the main channels by which government yields are affected and trace their impact on households financing costs. We document significant and persistent price pressure in the domestic government bond market after portfolio switching recommendations. Further, we find persistent changes in government yields, particularly in long-term inflation-linked bond yields, triggered by changes in the term premium component. Consistent with the relevance of inflation-linked bonds as the primary benchmark in setting interest rates, we find a substantial impact on households' financing costs. The third chapter focuses on financing decisions in the floating bond market. We use floating rate bond offerings and data from interest rate swaps to study the impact of firms' financing decisions. A trading strategy that is long the stock of firms that make smart decisions and short the stock of firms that make non-smart decisions earns a significant alpha relative to the three-factor, four-factor, and five-factor asset pricing models. Our results remain significant even after controlling for swap usage, different stock holding periods, operating performance hedging, and a quality minus junk factor. Both smart and non-smart firms experience jumps in abnormal investor attention around floating bond issuance dates, but smart firms on average experience greater overall abnormal attention with lower attention volatility.
Author : Brittany M.- Cole
Publisher :
ISBN 13 :
Total Pages : 183 pages
Book Rating : 4.:/5 (945 download)
Download or read book Three Essays on Bond Trading written by Brittany M.- Cole and published by . This book was released on 2015 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Part 1, we study the impact of bond exchange listing in the US publicly traded corporate bond market. Overall, we find that listed corporate bonds have lower bid-ask spreads than unlisted corporate bonds. We specifically show that listed bond spreads are $0.14 lower than unlisted bond spreads. We find that execution venue matters for listed bonds, and that listed bond trades that execute on the NYSE have higher trading costs than listed bond trades that execute off-NYSE. We show that listed bonds are more volatile than unlisted bonds. Lastly, we study bond trading around earnings announcements. We find no evidence that listing influences institutional (or large trading) activity in bonds. In Part 2, we study municipal bond market activity before, during, and after natural disasters (tornados, wildfires, and hurricanes/tropical storms). Using a sample of municipal bond trades from 2010 to 2013, we find that natural disasters influence municipal bond trading. Specifically, we show that spreads are lower on both tornado and wildfire event days and during following five trading days than during the preceding five trading days. While we do not document a relation between hurricane events and spreads, we show that spreads fall during the five days following the hurricane compared to the five trading days before the event. Generally, we document an increase in dollar volume in the five trading days following all three types of natural disasters. We also determine that linkages exist between the bonds affected by natural disasters and related bonds. In Part 3, we study municipal bond trading activity before, during, and after announcements of government officials’ misconduct. Using a sample of over 39,000,000 trades in nearly 500,000 bonds, we find that spreads are higher on news, indictment announcement, and trial verdict announcement days than other trading days. Spreads remain elevated through the five trading days following the announcement. We also find that large bond trades account for the majority of price discovery on event days. Overall, our results establish a link between government officials, their misconduct, and municipal bond markets.
