A risk not worth taking - The corporate bond liquidity factor

2021 ◽  
Author(s):  
Fabian Dienemann
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Comparing Possible Proxies of Corporate Bond Liquidity

CFA Digest ◽  
2005 ◽  
Vol 35 (4) ◽  
pp. 29-30
Author(s):  
Joseph D.V. Vu
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

News and Corporate Bond Liquidity

2014 ◽  
Author(s):  
Hao Jiang ◽  
Zheng Sun
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds

2020 ◽  
Vol 67 ◽  
pp. 101217 ◽  
Author(s):  
Diego Leal ◽  
Bryan Stanhouse ◽  
Duane Stock
Keyword(s):  
Term Structure ◽  
Corporate Bond ◽  
Bond Liquidity ◽  
Free Bank

Firm Visibility and Corporate Bond Liquidity

2012 ◽  
Author(s):  
Xing Zhou ◽  
Keh-Chian (Oliver) Chang ◽  
Simi Kedia ◽  
Jason Zhanshun Wei
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Corporate Bond Liquidity and Determinants of Credit Spread Changes

2012 ◽  
Author(s):  
Jing-Zhi Huang ◽  
Yuyo Lai ◽  
Zhan Shi
Keyword(s):  
Corporate Bond ◽  
Credit Spread ◽  
Bond Liquidity

scholarly journals Spread determinants in corporate bond pricing: The effect of market and liquidity risks

2020 ◽  
pp. 2-2
Author(s):  
Menevşe Özdemir-Dilidüzgün ◽  
Ayşe Altıok-Yılmaz ◽  
Elif Akben-Selçuk
Keyword(s):  
Risk Premium ◽  
Emerging Market ◽  
Corporate Bonds ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Corporate Bond ◽  
Bond Pricing ◽  
High Yield ◽  
Bond Liquidity ◽  
Investment Grade

This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish ?A? and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category.

scholarly journals Comparing possible proxies of corporate bond liquidity

2005 ◽  
Vol 29 (6) ◽  
pp. 1331-1358 ◽  
Author(s):  
Patrick Houweling ◽  
Albert Mentink ◽  
Ton Vorst
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

scholarly journals FAKTOR DETERMINAN YIELD OBLIGASI PERUSAHAAN KORPORASI

2020 ◽  
Vol 11 (2) ◽  
pp. 117-128
Author(s):  
Maunatun Zulfa ◽  
Aida Nahar
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Exchange ◽  
Analytical Tool ◽  
Corporate Bond ◽  
Company Size ◽  
Bond Yields ◽  
Bond Ratings ◽  
Factors Affecting ◽  
Bond Liquidity

Abstract The aims of this research was to analyze the effect of interest rates, bond ratings, company size, exchange rates, bond coupons, matutity, bond liquidity, solvency, and profitability on corporate bond yields. Yields have been received by investors from the bond investment profits are always fluctuating. The total number of population in this study were all corporate companies that issue bonds listed on the Indonesia Stock Exchange (IDX) for the 2015-2017 period. A total of 90 bonds from 12 corporate companies were sampled in this study. The analytical tool used is multiple linear regression. The results of this study indicate that the dominant factors affecting bond yields are bond coupons and maturity. Bond coupons have a positive and significant effect on bond yields. The result of the research showed that matutity could prove to produce a negative and significant effect on bond yields. Keywords: Bond coupons; bond liquidity; bond ratings; bond yields; company size; exchange rates; interest rates; matutity; profitability; solvency Abstrak Tujuan dari penelitian ini adalah untuk menganalisis pengaruh tingkat bunga, peringkat obligasi, ukuran perusahaan, nilai tukar, kupon obligasi, matutity, likuiditas obligasi, solvabilitas, dan profitabilitas terhadap hasil obligasi perusahaan. Imbal hasil yang diterima investor dari investasi obligasi selalu berfluktuasi. Jumlah total populasi dalam penelitian ini adalah semua perusahaan perusahaan yang menerbitkan obligasi yang terdaftar di Bursa Efek Indonesia (BEI) untuk periode 2015-2017. Sebanyak 90 obligasi dari 12 perusahaan perusahaan dijadikan sampel dalam penelitian ini. Alat analisis yang digunakan adalah regresi linier berganda. Hasil penelitian ini menunjukkan bahwa faktor dominan yang mempengaruhi hasil obligasi adalah kupon obligasi dan jatuh tempo. Kupon obligasi memiliki efek positif dan signifikan terhadap hasil obligasi. Hasil penelitian menunjukkan bahwa matutity dapat membuktikan menghasilkan efek negatif dan signifikan terhadap hasil obligasi. Kata kunci: Kupon obligasi; likuiditas obligasi; peringkat obligasi; hasil obligasi; ukuran perusahaan; nilai tukar; suku bunga; matutity; keuntungan; solvabilitas

Sign in / Sign up

Export Citation Format

Share Document