Liquidity Effects in Corporate Bond Spreads

2013 ◽  
Author(s):  
Jean Helwege ◽  
Jing-Zhi Huang ◽  
Yuan Wang
Keyword(s):  
Corporate Bond ◽  
Bond Spreads

Family Management and Corporate Bond Spreads: Do Foreign and Government Ownerships Matter?

2020 ◽  
pp. 1-13
Author(s):  
Chien-Chiang Lee ◽  
Chih-Wei Wang ◽  
Shan-Ju Ho
Keyword(s):  
Corporate Bond ◽  
Family Management ◽  
Bond Spreads

scholarly journals The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of Their Determinants

2019 ◽  
Author(s):  
Henning Fischer ◽  
Oscar Anselm Stolper
Keyword(s):  
Nonlinear Dynamics ◽  
Corporate Bond ◽  
Bond Spreads

scholarly journals Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets

2015 ◽  
Vol 05 (03) ◽  
pp. 1550007 ◽  
Author(s):  
Jan Ericsson ◽  
Joel Reneby ◽  
Hao Wang
Keyword(s):  
Default Risk ◽  
Structural Models ◽  
Credit Default Swap ◽  
Corporate Bond ◽  
Credit Default ◽  
Credit Derivative ◽  
Risk Free Rate ◽  
Derivative Markets ◽  
Bond Spreads ◽  
Free Rate

Using a set of structural models, we evaluate the price of default protection for a sample of US corporations. In contrast to previous evidence from corporate bond data, credit default swap (CDS) premia are not systematically underestimated. In fact, one of our studied models has little difficulty on average in predicting their level. For robustness, we perform the same exercise for bond spreads by the same issuers on the same trading date. As expected, bond spreads relative to the treasury curve are systematically underestimated. This is not the case when the swap curve is used as a benchmark, suggesting that previously documented underestimation results may be sensitive to the choice of risk-free rate.

Heterogeneous Liquidity Effects in Corporate Bond Spreads

CFA Digest ◽  
2017 ◽  
Vol 47 (9) ◽  
Author(s):  
Butt Man-Kit
Keyword(s):  
Corporate Bond ◽  
Bond Spreads

Modeling Corporate Bond Spreads: An Application-Oriented Forecasting Exercise

2009 ◽  
Author(s):  
Klaus-Michael Menz
Keyword(s):  
Corporate Bond ◽  
Bond Spreads

Liquidity effects in corporate bond spreads

2014 ◽  
Vol 45 ◽  
pp. 105-116 ◽  
Author(s):  
Jean Helwege ◽  
Jing-Zhi Huang ◽  
Yuan Wang
Keyword(s):  
Corporate Bond ◽  
Bond Spreads

January sentiment effect in the US corporate bond market

2018 ◽  
Vol 10 (4) ◽  
pp. 370-386 ◽  
Author(s):  
Zhongdong Chen ◽  
Karen Ann Craig
Keyword(s):  
Fixed Effects ◽  
Investor Sentiment ◽  
Bond Market ◽  
Corporate Bond ◽  
Content Type ◽  
Corporate Bond Market ◽  
The Us ◽  
Bond Spreads ◽  
The Impact ◽  
Allocation Decisions

Purpose The purpose of this paper is to investigate the impact of January sentiment on investors’ asset allocation decisions in the US corporate bond market during the rest of the year. Specifically, the study evaluates if the shift in January sentiment is a predictor of corporate bond spreads from February to December. Design/methodology/approach Using corporate bond trades reported in TRACE between 2005 and 2014, the authors examine the ability of the Index of Consumer Sentiment and the Index of Investor Sentiment to predict bond spreads over the 11 months following January. The study evaluates both the sign of the change in sentiment and the magnitude of the change in sentiment using two generalized linear models, controlling for industry, bond and firm fixed effects. Portfolios are analyzed based on yield, firm size and firm leverage. Additional analysis is performed to ensure results are robust to the impacts of the subprime financial crisis. Findings This paper finds that the changes in the sentiment measures in January predict bond spreads associated with bond trades in the subsequent 11 months, and this phenomenon, which the authors label as the “January sentiment effect,” has opposing impacts on risky and less risky bond portfolios. Originality/value This paper adds to the literature on the relationship between sentiment and investor’s allocation decisions. The evidence documented in this study is the first known to find that investors’ allocation decisions in a year are driven by their sentiment in January.

Testing the Elasticity of Corporate Yield Spreads

2009 ◽  
Vol 44 (3) ◽  
pp. 641-656 ◽  
Author(s):  
Gady Jacoby ◽  
Rose C. Liao ◽  
Jonathan A. Batten
Keyword(s):  
Interest Rates ◽  
Corporate Bond ◽  
Reduced Form ◽  
Time Varying ◽  
Yield Spreads ◽  
Asset Value ◽  
Key Factor ◽  
Risky Bonds ◽  
Bond Spreads ◽  
Hazard Process

AbstractWhat drives the compensation demanded by investors in risky bonds? Longstaff and Schwartz (1995) predict that one key factor is the time-varying negative correlation between interest rates and the yield spreads on corporate bonds. However, the effects of callability and taxes also need to be considered in empirical analyses. Canadian bonds have no tax effects, yet, after controlling for callability, the correlation between riskless interest rates and corporate bond spreads remains negligible. Our results provide support for reduced-form models that explicitly define a default hazard process and untie the relation between the firm’s asset value and default probability.

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