scholarly journals Spillover effects across credit spreads in Korean bond market

2015 ◽  
Vol 20 (1) ◽  
pp. 21-38 ◽  
Author(s):  
이항용 ◽  
이상헌
Keyword(s):  
Spillover Effects ◽  
Bond Market ◽  
Credit Spreads

scholarly journals Option-Based Credit Spreads

2018 ◽  
Vol 108 (2) ◽  
pp. 454-488 ◽  
Author(s):  
Christopher L. Culp ◽  
Yoshio Nozawa ◽  
Pietro Veronesi
Keyword(s):  
Economic Growth ◽  
Credit Risk ◽  
Risk Premium ◽  
Bond Market ◽  
Credit Spreads ◽  
Put Options ◽  
No Arbitrage ◽  
Primary Determinant ◽  
Default Risks ◽  
Bond Spreads

We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo firm assets. Empirically, like corporate spreads, pseudo bond spreads are large, countercyclical, and predict lower economic growth. Using this framework, we find that bond market illiquidity, investors' overestimation of default risks, and corporate frictions do not seem to explain excessive observed credit spreads but, instead, a risk premium for tail and idiosyncratic asset risks is the primary determinant of corporate spreads. (JEL E23, E32, E44, G13, G24, G32)

Third-party underwriting and its effects on credit spreads and earnings management

2019 ◽  
Vol 10 (1) ◽  
pp. 75-94
Author(s):  
Huaili Lyu ◽  
Conghui Yang
Keyword(s):  
Earnings Management ◽  
Sample Selection ◽  
Estimation Method ◽  
Ordinary Least Squares ◽  
Bond Market ◽  
Third Party ◽  
Credit Spreads ◽  
Content Type ◽  
Ex Post ◽  
Bond Issuers

Purpose The purpose of this paper is to examine the certification and monitoring motivations of third-party underwriting and its effects on credit spreads and earnings management of bank issuers. Design/methodology/approach Ordinary least squares is used to examine the certification and monitoring effects of third-party underwriting. Furthermore, the Heckman two-stage estimation method is used in controlling the endogeneity of sample selection. Findings The authors find that financial bonds underwritten by third-party underwriters bear lower credit spreads due to their credibly ex ante certification and effectively ex post monitoring compared with self-underwriting. Moreover, the certification of third-party underwriters can help to select good quality bond issuers with lower earnings management, and the monitoring function also plays an essential role in constraining the behavior of earnings management after the bond issues. Research limitations/implications The findings in this study suggest that underwriting types (third-party underwriting) will affect financial bond yields and bank issuers’ earnings management. Practical implications On the one hand, the authors should encourage third-party underwriters to actively promote the certification and monitoring functions. For example, given commercial banks the chance to be underwriters when the bond issuers are investment banks, which is not allowed now in China’s financial bond market. On the other hand, the authors should cut off the quid pro quo relations within third-party underwriting because such relations will reduce the certification and monitoring effects of third-party underwriters. Originality/value This is the first study to distinguish the certification and monitoring effects by using unique data from China’s financial bond market. And the authors further investigate the adverse effects of quid pro quo relations (hiring each other as lead underwriters) on the certification and monitoring effects of third-party underwriters.

scholarly journals Impact of Readability on Corporate Bond Market

2019 ◽  
Vol 12 (4) ◽  
pp. 184 ◽  
Author(s):  
Jieyan Fang-Klingler
Keyword(s):  
Transaction Costs ◽  
Annual Report ◽  
Bond Market ◽  
Corporate Bond ◽  
Credit Spreads ◽  
Annual Reports ◽  
Corporate Bond Market ◽  
Market Participants ◽  
The Us ◽  
The Impact

This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread volatilities, higher transaction costs, higher transaction costs volatility, smaller trade size, higher number of trades and higher number of trades volatility. This paper also provides the first answers to the question as to whether annual report readability matters to international market participants in the corporate bond market. My findings provide evidence that in the EUR corporate bond market, firms with more readable annual reports are associated with lower credit spreads.

Dealer Inventory Constraints in the Corporate Bond Market during the COVID Crisis

FEDS Notes ◽  
2021 ◽  
Vol 2021 (2918) ◽  
Author(s):  
Craig A. Chikis ◽  
◽  
Jonathan Goldberg ◽  
Keyword(s):  
Financial Market ◽  
Corporate Bonds ◽  
Bond Market ◽  
Market Liquidity ◽  
Corporate Bond ◽  
Credit Spreads ◽  
Corporate Bond Market ◽  
Inventory Constraints ◽  
Bond Spreads

Beginning in late February 2020, market liquidity for corporate bonds dried up and corporate bond credit spreads soared amid broad financial market dislocations related to the COVID-19 pandemic. The causes of this liquidity dry-up and the spike in corporate bond spreads remain subjects of debate.

Pricing corporate bonds with interest rates following double square-root process

2016 ◽  
Vol 03 (03) ◽  
pp. 1650015 ◽  
Author(s):  
Chi-Fai Lo ◽  
Cho-Hoi Hui
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Negative Relationship ◽  
Bond Market ◽  
Corporate Bond ◽  
Credit Spreads ◽  
Square Root ◽  
Pricing Model ◽  
Linear Effect ◽  
Model Following

This paper develops a corporate bond pricing model following the structural approach in which the dynamics of the instantaneous risk-free interest rate is governed by the double square-root (DSR) process. Credit spreads generated from the pricing model depend explicitly upon the levels of interest rates via the non-linear effect arising from the DSR process. Given a positive correlation between the interest rates and leverage ratios, the credit spreads generated by the pricing model have negative relationship with the interest rates, that is consistent with empirical findings using bond market data during 2008–2013 when interest rates were low.

scholarly journals Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions

Economies ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 35
Author(s):  
Linas Jurksas ◽  
Deimante Teresiene ◽  
Rasa Kanapickiene
Keyword(s):  
Regression Model ◽  
Event Study ◽  
Spillover Effects ◽  
Bond Market ◽  
Order Book ◽  
Bond Markets ◽  
Panel Regression ◽  
Sovereign Bond ◽  
Study Results ◽  
Sovereign Bond Markets

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from mid-2011 until end-2017 for sovereign bonds from the six largest euro area countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill-over effects of trades exist and vary highly across different order types, direction and size of the trade, the maturity of traded bonds, and various markets. The panel regression model showed that less liquid bonds and bonds whose issuer is closer by distance to the country of the traded bond have more substantial spillover effects and, at the same time, are also more affected by trades executed in another market. These results should be of interest to bond market participants who want to limit the exposure to the liquidity spillover risk in bond markets.

scholarly journals Estimating Contingent Convertible credit spreads in the Norwegian Bond Market using an option pricing approach

Beta ◽  
2019 ◽  
Vol 33 (02) ◽  
pp. 195-214
Author(s):  
Petter Eilif de Lange ◽  
Kim Andre Ha Stiberg ◽  
Per Egil Aamo
Keyword(s):  
Option Pricing ◽  
Bond Market ◽  
Credit Spreads
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