scholarly journals DETERMINANTS OF CORPORATE BOND YIELD: THE CASE OF MALAYSIAN BOND MARKET

2017 ◽  
Vol 17 (2) ◽  
Author(s):  
Norliza Che-Yahya ◽  
Ruzita Abdul-Rahim ◽  
Rasidah Mohd-Rashid
Keyword(s):  
Default Risk ◽  
Bond Market ◽  
Corporate Bond ◽  
Cross Sectional ◽  
Return On Equity ◽  
Trading Frequency ◽  
Bond Yield ◽  
Equity Ratio ◽  
The Individual ◽  
Individual Issue

Default risk has been recognized as one of the key determinants of bond yield. Past studies argue that default risk can be reflected by issue characteristics, issuer characteristics and interest rate behaviors on riskless security. As default risk is believed to be higher in developing markets due to the issue of illiquidity, capital inadequacy and a developing lending system, more empirical works must be focused on these markets. The present study examines the association between selected determinants and corporate bond yield in Malaysian market. Instead of focusing on the aggregate market level as has widely been carried out in previous studies, the present study concentrates on the individual issue level. The results of cross-sectional multiple regression analyses based on 61 observations in 2012 indicate that bond maturity, coupon payment, trading frequency, issuer’s rating, debt to equity ratio and return on equity ratio are the significant determinants of bond yield.Keywords: Corporate Bond Yield; Malaysian Bond Market.

scholarly journals Impact of Credit Risk Management on Profitability of Commercial Banks in Bangladesh: An estimation of Dynamic Panel Data Model

2020 ◽  
Vol 9 (3) ◽  
pp. 131-147
Author(s):  
Raad Mozib Lalon ◽  
Farhana Morshada
Keyword(s):  
Risk Factors ◽  
Credit Risk ◽  
Data Model ◽  
Dynamic Panel Data ◽  
Fixed Effect ◽  
Cross Sectional ◽  
Return On Equity ◽  
Equity Ratio ◽  
One Step ◽  
Loan Losses

This paper attempts to reveal how several credit risk factors are affecting the profitability of commercial banks considering the econometric models estimated with Random effect, Fixed effect, Pooled OLS and Cross-sectional Generalized least square (GLS) method followed by dynamic panel data model estimated with one-step GMM (generalized methods of moments) approach to incorporate the issue of endogeneity, unobserved heterogeneity and profit persistence of data set collected from annual report of banks covering from year 2010 to 2019 in Bangladesh. We have also adopted several diagnostic checks such as Model specification test, test of heteroskedasticty, cross sectional dependence test followed by test of autocorrelation and unit root test to examine the validity of the models selected for this study. The first part of our empirical investigation of the estimated models considering all methods reveals that out of all the independent credit risk factors such as Total loans to total assets ratio, Total loans to equity ratio, NPL to total loans, NPL to Total equity ratio, Provision for loan losses to total equity, total equity to total assets ratio, Total loans to total deposits ratio and provision for loan losses to NPL ratio, only provision for loan losses to NPL ratio is significantly affecting the dependent variable measured with NIM (Net interest margin) ratio of banks under fixed effect method. The next part of our empirical results of estimated models considering same methods divulges that NPL to total loans ratio, NPL to Total equity ratio and Provision for loan losses to total equity are also significantly affecting the dependent variable measured with ROE (Return on equity) of banks. The third segment of our empirical findings of estimated models considering same approaches shows that only NPL to total loans ratio is statistically significant under all methods but the NPL to total equity ratio is significant under fixed effect and GLS method and Provision for loan losses to total equity is significant under GLS method only in explaining the changes in ROA (Return on equity) measuring profitability of banks. Further investigation reveals that the dynamic impact of the said credit risk factors on profitability measured with ROE of banks has been successfully adopted by one-step system GMM approach considering all conditions required for estimation.

Management Earnings Forecasts and the Cost of Debt

2019 ◽  
pp. 0148558X1988731
Author(s):  
Norio Kitagawa ◽  
Akinobu Shuto
Keyword(s):  
Default Risk ◽  
Lower Cost ◽  
Earnings Forecasts ◽  
Bond Market ◽  
Cost Of Debt ◽  
Yield Spread ◽  
Management Earnings Forecasts ◽  
Bond Yield ◽  
Earnings Benchmarks ◽  
The Cost

Prior studies have indicated that earnings are useful for bond market investors and that beating earnings benchmarks is related to a firm’s lower cost of debt. This study examines whether management earnings forecasts are related to a firm’s cost of debt. Our results indicate that (a) positive forecast innovations (i.e., forecasted increases in earnings) are related to a firm’s lower bond yield spread after controlling for the effect of other earnings benchmarks and (b) the negative association between positive forecast innovations and bond yield spread is weaker for firms with high default risk than for those with low default risk. The results suggest that management earnings forecasts are useful for investors in the Japanese bond market and are consistent with the findings in the equity market. However, the usefulness of management earnings forecasts in the bond market depends on a firm’s level of default risk. Our results suggest that bond investors discount the management earnings forecasts of firms with high default risk because such forecasts are more likely to have an optimistic bias.

scholarly journals Uji Empirik Crowding Out Surat Utang Pemerintah dan Korporasi di Pasar Modal Indonesia

2018 ◽  
pp. 19 ◽  
Author(s):  
Buddi Wibowo ◽  
Hendrikus Passagi ◽  
Muhammad Budi Prasetyo
Keyword(s):  
Default Risk ◽  
Financial Stability ◽  
Banking Sector ◽  
Fixed Effect Model ◽  
Bond Market ◽  
Corporate Bond ◽  
Crowding Out ◽  
Yield Spread ◽  
Corporate Bond Market ◽  
The Government

Financing government budget deficit through emission of government  bonds may create a crowding out in corporate bond market. Crowding out caused the cost of funds incurred by the corporation to be expensive so the corporate bond market is stagnant and banks become the only major source of funding. Sources of funding that are so dependent on the banking sector could threaten financial stability and the country's economy as a whole because of the banks’ systemic risk. Default of a bank not only can influence other banks but also can have a serious impact on the national economy. This research empirically examine the phenomenon of crowding out in Indonesia with a fixed effect model of panel data FGLS and show existence of crowding out, where the yield spread tends to rise when the government issued new debt securities. But the rise in the yield spread was more due to the increase in Credit Default Swaps (CDS) spreads which reflect the default risk of Indonesia, as well as showing the influence of foreign investors in the Indonesian capital market which is strongly influenced by  CDS.

scholarly journals Multi-Class Imbalanced Corporate Bond Default Risk Prediction Based on the OVO-SMOTE-Adaboost Ensemble Model

2021 ◽  
Author(s):  
Jie Sun ◽  
Jingmei Zhu
Keyword(s):  
Risk Prediction ◽  
Default Risk ◽  
Decomposition Method ◽  
Sampling Technique ◽  
Bond Market ◽  
Corporate Bond ◽  
Practical Significance ◽  
Ensemble Model ◽  
Bond Risk ◽  
The One

Corporate bond default risk prediction is important for regulators, issuers and investors in the bond market. We propose a new approach for multi-class imbalanced corporate bond risk prediction based on the OVO-SMOTE-Adaboost ensemble model, which integrates the one-versus one (OVO) decomposition method, the synthetic minority over-sampling technique (SMOTE) and the Adaboost ensemble method. We categorize corporate bond default risk into three classes: very low default risk, relatively low default risk and high default risk, which is more scientific than the traditional two-class bond default risk, and carry out empirical experiments by respectively using DT, SVM, Logit and MDA as basic classifiers. Empirical results show that the prediction performance of the OVO-SMOTE-Adaboost (DT) model is overall better than the other three ensemble models such as OVO-SMOTE-Adaboost (SVM), OVO-SMOTE-Adaboost (Logit) and OVO-SMOTE-Adaboost (MDA). In addition, the OVO-SMOTE-Adaboost (DT) model greatly outperforms the OVO-SMOTE (DT) model, which is a single classifier model based on OVO and SMOTE without Adaboost. Therefore, the OVO-SMOTE-Adaboost (DT) model has satisfying performance of multi-class imbalanced corporate bond default risk prediction and is of great practical significance.

scholarly journals Impact of Bond Market Development on the Growth of the Nigerian Economy

2021 ◽  
Vol 21 (1) ◽  
pp. 60-75
Author(s):  
Michael O. Oke ◽  
Oluwabunmi Dada ◽  
Nelson O. Aremo
Keyword(s):  
Financial Institution ◽  
Negative Relationship ◽  
Bond Market ◽  
Corporate Bond ◽  
Market Development ◽  
Bond Markets ◽  
Government Bond ◽  
Bond Yield ◽  
Traditional Function ◽  
The Impact

Abstract Research background: The traditional function ascribed to a modern financial institution is to mobilize resources among the two units (surplus and deficit) of the economy. This can be achieved when financial institutions wake up to this responsibility and act as the pillar upon which other institutions can rely on. Purpose: This study examined the impact of bond market development on the growth of the Nigerian economy from 1986–2018. Research methodology: Data were analysed using the co-integration bounds test approach while the robustness of the estimates was also checked. Results: Government bond exhibited an insignificant positive relationship; corporate bond and value of bond traded were positive and statistically significant (prob. <0.05) while bond yield indicated a negative relationship with the growth of the Nigerian economy. Novelty: The study found that corporate bond and the value of bond traded were the major variables that increased the depth of bond market development in Nigeria. Therefore, policymakers in Nigeria should encourage the issuance of more corporate bonds to further enhance the efficiency of bond markets development.

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