Earnings Predictability, Bond Ratings, and Bond Yields

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

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Corporate Yields: Effect of Credit Ratings and Sovereign Yields

AEA Papers and Proceedings ◽

10.1257/pandp.20201008 ◽

2020 ◽

Vol 110 ◽

pp. 499-503

Author(s):

Julia Bevilaqua ◽

Galina Hale ◽

Eric Tallman

Keyword(s):

Credit Ratings ◽

Corporate Bonds ◽

Public Information ◽

Corporate Bond ◽

Bond Yields ◽

Upward Trend ◽

Bond Ratings ◽

Rating Agencies ◽

Advanced Economies ◽

Over Time

We empirically evaluate the importance of two sources of public information affecting pricing of global corporate bonds: bond ratings provided by rating agencies and sovereign yields of the issuer's country. We find that both in the cross section of firms and over time more variation in corporate bond yields is explained by sovereign yields than by corporate bond ratings. When sovereign yields are high, their importance in pricing corporate bonds declines. In these states, for advanced economies' borrowers, the importance of corporate ratings increases. There is a small upward trend in the importance of corporate ratings over time.

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Determinants of Bond Rating and its Implications to Corporate Bond Yield

International Journal of Engineering and Advanced Technology - Regular Issue ◽

10.35940/ijeat.b3358.129219 ◽

2019 ◽

Vol 9 (2) ◽

pp. 195-200

Keyword(s):

Logistic Regression ◽

Panel Data ◽

Corporate Bonds ◽

Corporate Bond ◽

Company Size ◽

Bond Yields ◽

Bond Ratings ◽

Bond Rating ◽

Panel Data Regression ◽

Data Regression

Identifying the factors that affect bond ratings is important in relation to investment decisions in long-term debt securities because they have an impact on corporate bonds. The research objective is to analyze the factors that influence bond ratings and their implications for corporate bond yields, both partially and simultaneously. This study uses a logistic regression model to estimate the determinants of corporate bond ratings and a panel data regression model to estimate the implications for corporate bond yields, by taking samples of corporate bonds listed on the Indonesia Stock Exchange (IDX) during the 2012-2016 period with a number of samples research with as many as 36 corporate bonds. Based on the results of the study, using the logistic regression method, the following research findings were obtained: company size, liquidity, leverage and profitability simultaneously affected bond ratings with a contribution of 33.62% (R2 ). In addition, the size and liquidity of the company have a positive and significant effect on bond ratings. While the results of the panel data regression analysis, it was found that company size, liquidity, leverage, profitability and bond rating simultaneously affected bond yields with a contribution of 70.4% (R2) while 29.6% was influenced by other variables. In addition, the size and leverage of the company has a negative and significant effect on the yield of corporate bonds. This study also shows that the larger the size of the company, the less sensitive the changes in bond yields and vice versa, the smaller the size of the company, the more sensitive it is to changes in corporate bond yields.

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Bond ratings, bond yields and financial information

Contemporary Accounting Research ◽

10.1111/j.1911-3846.1992.tb00879.x ◽

1992 ◽

Vol 9 (1) ◽

pp. 252-282 ◽

Cited By ~ 108

Author(s):

DAVID A. ZIEBART ◽

SARA A. REITER

Keyword(s):

Financial Information ◽

Bond Yields ◽

Bond Ratings

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The Influence of Differences in Taxable Income and Book Income on the Bond Credit Market

Journal of the American Taxation Association ◽

10.2308/jata.2009.31.1.75 ◽

2009 ◽

Vol 31 (1) ◽

pp. 75-99 ◽

Cited By ~ 36

Author(s):

Aaron Crabtree ◽

John J. Maher

Keyword(s):

Default Risk ◽

Credit Market ◽

Extended Period ◽

Bond Yields ◽

Bond Ratings ◽

Deferred Taxes ◽

Bond Rating ◽

Taxable Income ◽

Bond Issues ◽

The Relationship

ABSTRACT: We examine the importance of information pertaining to the relationship between taxable income and reported book income to bond rating analysts. Specifically, using a relatively large sample of new bond issues over an extended period of time, we examine information related to deferred taxes as well as the overall tax-to-book position in the assessment of a firm's default risk. Our results are consistent with the existence of a U-shaped relationship, with firms falling in the extreme upper or lower quintiles of their industry-year group receiving lower bond ratings than firms that are nearer to their industry average. Additional analyses suggest this effect is partially diminished for firms identified as highly effective tax planners. Finally, examination of investors' bond yields provides further corroborating evidence with respect to the importance and treatment of the information provided by the firm's overall tax-to-book position.

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