Corporate Bond Price Reactions to Dividend Changes

lndonesia corporate bond market development can he done from various aspects, among others, through the stability and improvement of macroeconomic indicators, improving the quality of ï¬nancial infrastructure, and improving the quality of the corporate bond market. This study aimed to describe the quality Indonesian corporate bond market based transaction costs approach. Therefore, the quality of the corporate bond market in this study manifested by transaction costs and decomposition of transaction costs (information friction and real friction). Based on the estimation of transaction costs and decomposition of transaction costs, regulators and market managers can create a variety of policies to improve the quality of the corporate bond market. To achieve these goals, the data used were corporate bond registered and transacted in the bond market and the sources of data from Securities Division reported OTC-FIS (Over the counter â€“ Fixed Income Service). The research samples were 2336 observations using the purposive sampling technique to gather samples. The data were analyzed using the multiple regression equation. The research indicates that: First, transaction costs tyâ€™ corporate bond is 0-798 with t-statistic is 31.964. Second, the contribution of information friction againts transaction cost is 45.1 percent with t-statistic is 18.20. "third, the contriliution real friction againts transaction cost is 14.2 percent with t-statistic is 5.71. Fourth, the information friction have the greater contribution to transaction cost with or without the classification of sample. Fifth, in the change of bond price segmentation, the contribution of information friction increases with the increase of the change of bond price. With reference to the research results, the quality of the corporate bond market can he improved by lowering the transaction costs in trade mechanism. Transaction costs can be reduced through increased transparency and improved the trading niechanisni of corporate bond market. Furthermore, the result if this research can be used by investors in creating portfolios and holding periods and for bond emitters in issuing bonds.

Corporate Bond Price Data Sources and Return/Risk Measurement

Journal of Financial and Quantitative Analysis ◽

10.2307/2330737 ◽

1986 ◽

Vol 21 (2) ◽

pp. 197 ◽

Cited By ~ 24

Author(s):

Kenneth P. Nunn ◽

Joanne Hill ◽

Thomas Schneeweis

Keyword(s):

Risk Measurement ◽

Corporate Bond ◽

Data Sources ◽

Bond Price ◽

Price Data

PEMODELAN KURVA IMBAL HASIL OBLIGASI KORPORASI RATING AA DAN A DENGAN NELSON SIEGEL SVENSSON DAN CUBIC SPLINE SMOOTHING

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v11i4.463 ◽

2009 ◽

Vol 11 (4) ◽

pp. 293-322

Author(s):

Denny Permatasari ◽

Nur Iriawan

Keyword(s):

Yield Curve ◽

Stock Exchange ◽

Corporate Bonds ◽

Cubic Spline ◽

Corporate Bond ◽

Spline Smoothing ◽

Bond Price ◽

Market Prices ◽

Corporate Bond Market ◽

Commercial Instrument

Bond is one of commercial instrument that influence economic sector in Indonesia. Bond transaction can't be made in the market directly, but it has been traded through securities. On average, there are only few bond transactions with the various market prices. Benchmarking is, therefore, needed to be created to determining bond price through yield curve. Through yield curve, the relation between yield of bond with same credit risk (rating) and different time to maturity can be seen. This research is conducted by employing time to maturity to model the yield of some selected corporate bonds with rating of AA and A. Two methods, Nelson Siegel Svensson (NSS) method couple with Levenberg-Marquardt optimization and Cubic Spline Smoothing (CSS) are employed here. These two methods have been applied to data from Indonesian Stock Exchange (IDX) ranging September to November 2008. The results show that CSS give smallest RMSE and MAE. In contrast, Nelson Siegel Svensson reports a model which more parsimony, more easily to be explained, and more adaptable to keep upfoward maturity than CSS. This research takes into account that NSS is better to be to model corporate bonds yield curve than CSS. Another importance conclusion that can be gather is that corporate bonds (with rating of AA and A) yield are hang about under IGSYC in certain period. Its means, that corporate bond market in Indonesia is not good for investment comparing to government bond.

The Effect of Seniority and Security Covenants on Bond Price Reactions to Credit News

SSRN Electronic Journal ◽

10.2139/ssrn.1020848 ◽

2011 ◽

Cited By ~ 1

Author(s):

David D. Cho ◽

Hwagyun Kim ◽

Jung S. Shin

Keyword(s):

Bond Price ◽

Price Reactions

Post-Earnings Announcement Bond Price Reactions

SSRN Electronic Journal ◽

10.2139/ssrn.2139028 ◽

2012 ◽

Author(s):

Xiaoting Wei ◽

Cameron Truong ◽

Madhu Veeraraghavan

Keyword(s):

Bond Price ◽

Earnings Announcement ◽

Price Reactions

Perbandingan Sensitivitas Harga Obligasi Berdasarkan Durasi Macaulay dan Durasi Eksponensial dengan Pengaruh Konveksitas (Studi Empiris pada Data Obligasi Korporasi Indonesia yang Terbit Tahun 2015)

MEDIA STATISTIKA ◽

10.14710/medstat.10.1.25-36 ◽

2017 ◽

Vol 10 (1) ◽

pp. 25

Author(s):

Di Asih I Maruddani ◽

Abdul Hoyyi

Keyword(s):

Empirical Study ◽

Interest Rates ◽

Accurate Method ◽

Corporate Bond ◽

Bond Pricing ◽

Bond Price ◽

Bond Prices ◽

Natural Logarithm ◽

Actual Change ◽

Small Change

Macaulay duration has often been used as a measure of the bond prices sensitivity to changes in interest rates. For a small change in interest rates, the duration provides a good approximation of the actual change in price. As the change in interest rates gets larger, the duration approximation has larger errors. The convexity of bond prices change is often used as a way to improve the accuracy of the approximation. Several authors have pointed out that the natural logarithm of bond price is a better measure of percentage changes in bond prices as interest rates change. Based on this idea, this paper derives an accurate method of estimating percentage bond price changes in response to changes in interest rates, which is called exponential duration. This paper gives new estimation of bond prices using exponential duration with convexity approach. It will be shown that the new estimation bond prices is always more accurate than by Macaulay duration with convexity approach. For empirical study, it is used corporate bond data, which is published by Indonesian Bond Pricing Agency in 2015. The result support the theory that error value of Macaulay duration with convexity is more than the error value of exponential duration with convexity.Keywords:Bond Price, Convexity, Exponential Duration, Macaulay Duration, Modified Duration

Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration

Mathematics ◽

10.3390/math8112033 ◽

2020 ◽

Vol 8 (11) ◽

pp. 2033

Author(s):

Zhehao Huang ◽

Zhenghui Li ◽

Zhenzhen Wang

Keyword(s):

Credit Risk ◽

Default Risk ◽

Credit Rating ◽

Joint Effect ◽

Corporate Bond ◽

Subprime Crisis ◽

Risk Modeling ◽

Bond Price ◽

Closed Form Solutions ◽

Financial Index

Credit risk modeling by debt pricing has been a popular theme in both academia and practice since the subprime crisis. In this paper, we devote our study to the indifferent price of a corporate bond with credit risk involving both default risk and credit rating migration risk in an incomplete market. The firm’s stock and a financial index on the market as tradable assets are introduced to hedge the credit risk, and the bond price is determined by the indifference of investors’ utilities with and without holding the bond. The models are established under the structural framework and result in Hamilton–Jacobi–Bellman (HJB) systems regarding utilities subject to default boundary and multiple migration boundaries. According to dynamic programming theory, closed-form solutions for pricing formulas are derived by implementing an inverted iteration program to overcome the joint effect of default and multiple credit rating migration. Therefore, with the derived explicit pricing formulas for the corporate bond, the models can be easily applied in practice, and investors can generate their strategies of hedging the credit risk by easily analyzing the impacts of the parameters on the bond price.

Corporate Bond Price Discrepancies in the Dealer and Exchange Markets

The Journal of Fixed Income ◽

10.3905/jfi.1991.408021 ◽

1991 ◽

Vol 1 (3) ◽

pp. 7-16 ◽

Cited By ~ 53

Author(s):

Arthur D. Warga

Keyword(s):

Corporate Bond ◽

Bond Price ◽

Exchange Markets