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Author : Meital Graham-Rozen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book The Factors Affecting Corporate Bond Spreads written by Meital Graham-Rozen and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tracy R. Hicks
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (549 download)
Download or read book Risk Factors Affecting Corporate Bond Yields written by Tracy R. Hicks and published by . This book was released on 1972 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean Helwege
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Liquidity Effects in Corporate Bond Spreads written by Jean Helwege and published by . This book was released on 2013 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to disentangle the two factors empirically. In this paper we separate out the credit risk component by examining bonds that are issued by the same firm and that trade on the same day. Our sample of bond pairs provides two yield spreads which, if they differ, vary only because of differences in liquidity. We then investigate the determinants of the differences in yield spreads. We find that standard liquidity measures do a poor job of explaining spreads, and that incorporating the information from other bonds issued by the firm and from bonds of other firms can significantly improve the explanatory power of those liquidity measures. Still, a significant portion of the spread is left unexplained and it is largely driven by a common unknown factor. We conclude that good proxies for the liquidity component of corporate bond spreads remain elusive.
Author : Arne Wilkes
Publisher : Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN 13 : 9783631606049
Total Pages : 0 pages
Book Rating : 4.6/5 (6 download)
Download or read book Determinants of Credit Spreads written by Arne Wilkes and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Author : F. Hagenstein
Publisher : Springer
ISBN 13 : 0230523293
Total Pages : 355 pages
Book Rating : 4.2/5 (35 download)
Download or read book Investing in Corporate Bonds and Credit Risk written by F. Hagenstein and published by Springer. This book was released on 2004-10-01 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Author : Jeffery D. Amato
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.3/5 ( download)
Download or read book Macro Factors in the Term Structure of Credit Spreads written by Jeffery D. Amato and published by . This book was released on 2006 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and B rated corporate bonds in a doubly-stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables -- indicators of real activity, inflation and financial conditions -- as well as latent factors, as drivers of term structure dynamics. Our results point to three key roles played by macro factors in the term structure of spreads: they have a significant impact on the level, and particularly the slope, of the curves; they are largely responsible for variation in the prices of systematic risk; and speculative grade spreads exhibit greater sensitivity to macro shocks than high grade spreads. In addition to estimating risk-neutral default intensities, we provide estimates of physical default intensities using data on Moody's KMV EDFs as a forward--looking proxy for default risk. We find that the real and financial activity indicators, along with filtered estimates of the latent factors from our term structure model, explain a large portion of the variation in EDFs across time. Furthermore, measures of the price of default event risk implied by estimates of physical and risk-neutral intensities indicate that compensation for default event risk is countercyclical, varies widely across the cycle, and is higher on average and more variable for higher-rated bonds.
Author : Biao Guo
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
Download or read book Macro Factors in Corporate Bond Credit and Liquidity Spreads written by Biao Guo and published by . This book was released on 2019 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the macroeconomic determinants of the term structures of Treasury yields, corporate bond credit spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions, inflation, real output, and financial market volatility, are extracted from a set of macroeconomic and financial data series. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads for all rating classes, and credit spreads widen as monetary conditions tighten, but the effects of inflation and real output are insignificant. In times of stress, financial market volatility has a similar impact and the impacts of inflation and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead to inaccurate estimation of the impacts of economic factors on corporate credit spreads. The paper also provides evidence of ”flight-to-liquidity” behavior which strengthens in bad times and sheds light on the negative correlation between the risk-free rate and corporate yield spreads as well as on the positive correlation between credit spreads and liquidity spreads.
Author : Mr.Jorge A. Chan-Lau
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781451857580
Total Pages : 0 pages
Book Rating : 4.8/5 (575 download)
Download or read book Corporate Bond Risk and Real Activity written by Mr.Jorge A. Chan-Lau and published by INTERNATIONAL MONETARY FUND. This book was released on 2001-10-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and AAA-rated bonds - have significant predictive content for future growth rate of industrial production at 3 to 18 months forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component is also able to capture "industrial production business cycle" well.
Author : Ortenca Kume
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (817 download)
Download or read book Determinants of U.S. Corporate Credit Spreads written by Ortenca Kume and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis deals with various issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a compensation not only for the default risk but also for other factors related to corporate bonds such as market liquidity or tax differential between corporate and Treasury bonds. In this study we firstly examine the relationship between bond ratings and credit spreads given that bond rating changes are expected to carry some informational value for debt investors. The findings indicate that bond ratings generally carry some informational value for corporate bond investors. The Granger causal relationship is more evident for negative watch lists and during periods of uncertainty in financial markets. In line with previous studies, our results suggest that changes in credit spreads are significantly related to interest rate levels, systematic risk factors (Fama and French) factors and equity returns.
Author : Estelle P. Roche
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book An Analysis of Market and Economic Factors that Drive Credit Spreads on US Corporate Bond Indexes written by Estelle P. Roche and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungmin Jo
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (89 download)
Download or read book Determinants of Credit Spreads on U.S. Dollar-denominated Asian Corporate Bonds written by Sungmin Jo and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond spreads. Principal component analysis also demonstrates that only a few variables account for the variation in Asian corporate bond spreads. Moreover, global factors have the greatest impact on credit spreads in the financial sector and the smallest impact on credit spreads in the utility sector. Finally, my results show that Asian corporate credit spreads respond more substantially to the U.S. monetary easing than to the U.S. monetary tightening, and they also react more strongly to widening U.S. credit spreads than to narrowing U.S. credit spreads.
Author : Andrea Sironi
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads written by Andrea Sironi and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The question of which factors are relevant in determining corporate bonds pricing is empirically investigated by analyzing the issuance spreads of eurobonds completed by Canadian, European, Japanese and U.S. companies during the 1991-2001 eleven year period. A unique dataset of spreads, ratings and other relevant bond variables is used for a sample of 3,403 eurobonds issues. Four main results emerge from the empirical analysis. First, the ratings of corporate bonds are the most important determinant of spreads between the yield to maturity of bonds and that of equivalent Treasury securities. Second, bond investors' reliance on rating agencies judgements has increased over time during the sample period. Third, while a bond's expected tax treatment represents a relevant factor explaining spreads cross-sectional variability, the primary market efficiency and the expected secondary market liquidity appear as poor explanatory variables. Finally, empirical evidence shows that rating agencies adopt a different, quot;through the cyclequot; evaluation criteria of obligors' creditworthiness with respect to the forward looking one adopted by bond investors.
Author : Arne Christian Klein
Publisher :
ISBN 13 : 9783957294524
Total Pages : pages
Book Rating : 4.2/5 (945 download)
Download or read book The Time-varying Impact of Systematic Risk Factors on Corporate Bond Spreads written by Arne Christian Klein and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Delong Li
Publisher : International Monetary Fund
ISBN 13 : 1513573411
Total Pages : 51 pages
Book Rating : 4.5/5 (135 download)
Download or read book The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets written by Delong Li and published by International Monetary Fund. This book was released on 2021-06-04 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued by financial companies and government-related firms. Our results support theoretical arguments that corporate and sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may slowdown growth by persistently increasing private sector borrowing costs.
Author : Delvin D. Hawley
Publisher :
ISBN 13 :
Total Pages : 460 pages
Book Rating : 4.3/5 (129 download)
Download or read book Industry-specific Characteristics of Cyclical Variations in the Yield Structure of Corporate Bonds written by Delvin D. Hawley and published by . This book was released on 1987 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jing-Zhi Huang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Explaining Credit Spread Changes written by Jing-Zhi Huang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the question of the determinants of corporate bond credit spreads using both weekly and monthly option-adjusted spreads for nine corporate bond indices from Merrill Lynch from January 1997 to July 2002. We find that the Russell 2000 index historical return volatility and Conference Board composite leading and coincident economic indicators have significant power in explaining credit spread changes, especially for high yield indices. Furthermore, these three variables plus the interest rate level, the historical interest rate volatility, the yield curve slope, the Russell 2000 index return, and the Fama-French [1996] high-minus-low factor can explain more than 40% of credit spread changes for five bond indexes. In particular, these eight variables can explain 67.68% and 60.82% of credit spread changes for the B- and BB rated indexes, respectively. Our analysis confirms that credit spread changes for high-yield bonds are more closely related to equity market factors and also provides evidence in favor of incorporating macroeconomic factors into credit risk models.
Author : Eduardo A. Cavallo
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Determinants of Corporate Risk in Emerging Markets written by Eduardo A. Cavallo and published by International Monetary Fund. This book was released on 2007-09 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line with the sovereign ceiling "lite" hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding.
