Reversal effect and corporate bond pricing in China

2021 ◽  
pp. 101664
Author(s):  
Heming Zhang ◽  
Guanying Wang
Keyword(s):  
Corporate Bond ◽  
Bond Pricing ◽  
Reversal Effect

Do participants in the bond market care about corporate social responsibility? Evidence from China

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jun Hu ◽  
Wenbin Long ◽  
Yu Wang ◽  
Linzi Zhou
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Bond Market ◽  
Economic Consequences ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Content Type ◽  
Market Participants ◽  
Risk Environments ◽  
Corporate Social

PurposeUsing a sample of listed Chinese companies that issued bonds from 2010 to 2019, the authors empirically test the link between CSR and corporate bond pricing, and the mechanism and channels behind this link.Design/methodology/approachThis study systematically examines whether and how corporate social responsibility (CSR) affects the corporate bond market in China.FindingsFirms with better CSR have higher corporate bond credit ratings and lower corporate bond yield spreads. These associations remain stable in robustness checks, including checks that use regional typhoon disaster as an instrumental variable. The effects of CSR are more significant for firms with a worse information environment and for those operating in high-risk environments. Better CSR is associated with less earnings management, fewer financial restatements and less analyst forecast divergence. In addition, the effects of CSR are more pronounced after the 2013 market-oriented reform and when issuers are non-state-owned enterprises.Practical implicationsBecause market participants can incorporate firms' CSR into their decision-making, establishing an effective channel for communicating CSR between issuers and market participants will enhance the effects of CSR.Social implicationsResearchers need to attend to the mechanisms behind the link between CSR and corporate bond pricing, and to the characteristics of strong environmental contingency in emerging markets, specifically the periods and scenarios in which the effects of CSR change.Originality/valueThis study provides systemic evidence that CSR benefits corporate bond pricing through both informational and reputational channels and that the effects of CSR vary by time and firm. These findings enrich the literatures on both the economic consequences of CSR and the determinants of corporate bond pricing, and provide a plausible explanation for mixed findings on the effects of CSR in previous studies.

Pricing Effectiveness on the Russian Corporate Bond Market

2017 ◽  
Vol 2017 (4) ◽  
pp. 3-28
Author(s):  
Tamara Teplova ◽  
Darya Budanova
Keyword(s):  
Corporate Bonds ◽  
Total Sample ◽  
Bond Market ◽  
Corporate Bond ◽  
Return Periods ◽  
Corporate Bond Market ◽  
Reversal Effect ◽  
Strategy Design ◽  
Selection Of

In this paper, the question of price anomaly’s existence in the ruble bond market is considered. The construction of the profitable investment (trade) strategy on the relatively best and relatively worst corporate bonds that are ranged by the historical return allows to reveal the anomaly. The testing is conducted at the total sample (303 bonds of Russian issuers) and the sub-sample (25 liquid bonds of Russian issuers). The results that include the selection of the trade strategy’s design (the analysis of more than 6 thousand combinations of historical return periods investment periods and the percentiles of the best and worst portfolios) allow to detect the reversal effect (when the profitable strategy includes investing in to former losers who have demonstrated the lowest historical return). The investments in former winners also may be profitable, but the parameters of the strategy design become crucial to reach this effect. The result above justifies the fact that Russian corporate bond market is overestimated, the bond demand is higher that the bond supply that leads to the anomaly in the dynamics of the return, when the investment in losers makes it possible to get profit.

scholarly journals On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate

2018 ◽  
Vol 11 (4) ◽  
pp. 87 ◽  
Author(s):  
Hong-Ming Yin ◽  
Jin Liang ◽  
Yuan Wu
Keyword(s):  
Interest Rate ◽  
Credit Rating ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Stochastic Interest Rate ◽  
Pricing Model ◽  
New Model ◽  
Stochastic Interest ◽  
The Interest Rate ◽  
Rating Change

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are allowed to happen a finite number of times during the life-span of the bond. The volatility of a corporate bond price may have a jump when a credit rating for the bond is changed. Moreover, the volatility of the bond is also assumed to depend on the interest rate. This new model improves the previous existing bond models in which the rating change is only allowed to occur once with an interest-dependent volatility or multi-ratings with constant interest rate. By using a Feynman-Kac formula, we obtain a free boundary problem. Global existence and uniqueness are established when the interest rate follows a Vasicek’s stochastic process. Calibration of the model parameters and some numerical calculations are shown.

Investment-Based Corporate Bond Pricing

2011 ◽  
Author(s):  
Lars-Alexander Kuehn ◽  
Lukas Schmid
Keyword(s):  
Corporate Bond ◽  
Bond Pricing

Investment-Based Corporate Bond Pricing

2014 ◽  
Vol 69 (6) ◽  
pp. 2741-2776 ◽  
Author(s):  
LARS-ALEXANDER KUEHN ◽  
LUKAS SCHMID
Keyword(s):  
Corporate Bond ◽  
Bond Pricing

Corporate bond pricing model with stochastically volatile firm value process

2016 ◽  
Vol 148 ◽  
pp. 41-44
Author(s):  
Woon Wook Jang ◽  
Young Ho Eom ◽  
Yong Joo Kang
Keyword(s):  
Firm Value ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Pricing Model

scholarly journals Monte Carlo Valuation of Corporate Bonds Using Price  Data

2021 ◽  
Author(s):  
◽  
Nimesh Patel
Keyword(s):  
Structural Models ◽  
Poor Performance ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Reduced Form ◽  
Corporate Bond Market ◽  
Default Intensity ◽  
The Us ◽  
Form Model ◽  
Reduced Form Model

<p>Corporate debt securities play a large part in financial markets and hence accurate modeling of the prices of these securities is integral. Ericsson and Reneby (2005) state that the corporate bond market in the US doubled between 1995 and 2005 and is now larger than the market for US treasuries. Although the theoretical corporate bond pricing literature is vast, very little empirical research to test the effectiveness of these models has been published. Corporate bond pricing models are split into two families of models. The first, are the structural models which endogenise default by modeling it as an event that may eventuate due to the insolvency of the underlying firm. The second family of models is the newer class of reduced-form models that exogenise default by modeling it as some random process (default intensity). The reduced-form models have been formulated largely due to the empirical failures of the structural family to accurately model prices and spreads. However as Ericsson and Reneby (2005) point out, an inadequate estimation approach may explain the poor performance of the structural models. Structural models are, therefore, the focus of this paper. We, however, do estimate a reduced-form model in order to make a comparison between the two types of model. There are no published papers (to my knowledge) in which both types of model are implemented ...</p>

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