Residual Equity Momentum Spillover in Global Corporate Bond Markets

2019 ◽  
Keyword(s):  
Return Predictability ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Corporate Bond Market ◽  
Pricing Factors ◽  
Bond Return ◽  
Abnormal Pattern ◽  
Additional Support ◽  
Investment Grade

This article presents an improved equity momentum measure for corporate bonds, using the euro-denominated global investment-grade corporate bond market from 2000 to 2016. The author documents economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely used total equity return, momentum as measured by the residual (idiosyncratic) equity return appears to further enhance risk-adjusted performance of corporate bond investors. Additional support for this conjecture is obtained from tests for various asset pricing factors and transaction costs, as exposure to these risk factors cannot explain this abnormal pattern in returns.

scholarly journals REGULATION OF THE ISSUE AND CIRCULATION OF CORPORATE BONDS IN EASTERN EUROPE

2021 ◽  
Author(s):  
Dariia Vasylieva ◽  
Keyword(s):  
Eastern Europe ◽  
Information Disclosure ◽  
Corporate Bonds ◽  
Regulatory Reform ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Bond Issue ◽  
Corporate Bond Market ◽  
Policy Initiatives

The formation and development of the corporate bond market is influenced by global regulatory reform and other government policy initiatives that affect all financial markets. Political, legislative, regulatory and fiscal changes must be well adapted to support the viability of corporate bond markets (both domestic and international). Financial market policy in general should not slow down bond markets, but should ensure optimal interaction between investors and issuers. Historical examples show how regulation, legislation, and other aspects of public policy can stimulate or slow down corporate bond markets. Currently, access to bond markets is limited for most companies due to the high cost of issuance, but the corporate bond market continues to expand. Regulation of the corporate bond market is a key factor that determines the possibility of attracting financial resources through this debt instrument from domestic and foreign investors. In this respect, it is important to pay attention not only to the issue of specific new regulatory and policy initiatives, but also to a careful review of the overall legal and regulatory framework. The purpose of the article is to systematize and analyze the legal framework for the issuance and circulation of corporate bonds in Eastern Europe. The article lists the main transactions in corporate bonds during their life cycle. The difference between the concepts of "corporate bond issue" and "corporate bond circulation" is substantiated. An analysis of the specifics of corporate bond regulation on the example of Ukraine, Bulgaria, Poland, Romania, Slovakia, Slovenia, Hungary and Croatia is carried out. The list of the basic laws of the countries of Eastern Europe regulating issue and circulation of corporate bonds is given. The common and distinctive features in the reporting and methods of information disclosure by corporate bond issuers in Ukraine and other Eastern European countries are analyzed. The structure of the corporate bond issue prospectus is determined. The main innovations in the Ukrainian legislation on the regulation of the issue and circulation of corporate bonds are analyzed.

An Empirical Investigation Of The Persistence Of Stock And Bond Return Seasonality

2011 ◽  
Vol 16 (2) ◽  
Author(s):  
Angeline M. Lavin
Keyword(s):  
Stock Returns ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
Average Return ◽  
Bond Returns ◽  
Bond Return ◽  
The Government ◽  
Using Data ◽  
Return Seasonality

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: &quot;CG Times&quot;,&quot;serif&quot;;"><span style="font-size: x-small;">The purpose of this paper is to investigate the persistence of seasonality in stock and bond returns using data from 1926 to 1992. This study finds evidence of seasonality in stock returns during the 1926-92 period.<span style="mso-spacerun: yes;">&nbsp; </span>Dividing the data into sub-periods yields the following results: there was no evidence of stock market seasonality from 1926 to 1940, seasonality increased between 1941 and 1975 and then diminished slightly from 1976 to 1992. Specifically, the average January return was found to be significantly different than the average return in the other eleven months of the year.<span style="mso-spacerun: yes;">&nbsp; </span>Seasonality was found in the high-quality end of the corporate bond market during the 1966-78 period, but there was no evidence of seasonality in the government bond market. </span></span></p>

Indian Corporate Bond Market: An Analysis of Growth and Impact of Macroeconomic Determinants

2019 ◽  
Vol 23 (3) ◽  
pp. 244-254
Author(s):  
Pooja Neemey ◽  
Namita Sahay
Keyword(s):  
Secondary Data ◽  
Bond Market ◽  
Corporate Bond ◽  
System Stability ◽  
Bond Markets ◽  
Economic Variables ◽  
Market Growth ◽  
Corporate Bond Market ◽  
Dependent Variables ◽  
Macroeconomic Determinants

Robust, deep and vibrant corporate bond markets are necessary to increase financial system stability of a nation, help the needs of credit and mitigate financial crises of corporate sector that is important for the economic growth. The present article focuses on Indian corporate bond market growth and its impact on some select monetary, fiscal and economic variables as this creates advantages for investors, corporates and governments from 2006–2007 to 2016–2017. The study used the secondary data collection method with the help of monetary, fiscal and economic variables as independent variables and yield rate as dependent variables. From the analysis, it was identified that a complete corporate bond market is associated with economic, monetary and fiscal variables neither negatively nor positively nor at a significant rate. The result of the analysis concludes that among all the selected variables, GDP in percentage is considered as the chief variable that is predominantly mandatory for India because it is commencing its bond market with the foreign participants.

The Macroeconomic Uncertainty Premium in the Corporate Bond Market

2020 ◽  
pp. 1-26 ◽  
Author(s):  
Turan G. Bali ◽  
Avanidhar Subrahmanyam ◽  
Quan Wen
Keyword(s):  
Cross Section ◽  
Bond Market ◽  
Corporate Bond ◽  
Economic Uncertainty ◽  
Corporate Bond Market ◽  
Macroeconomic Risk ◽  
Macroeconomic Uncertainty ◽  
Retail Investors ◽  
Investment Grade

Abstract We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors).

scholarly journals The Theory and Empirics of Financial Development in the East Asian Bond Markets

2014 ◽  
Vol 5 (1) ◽  
pp. 45-76
Author(s):  
Thomas Kemetmüller
Keyword(s):  
Financial Crisis ◽  
Financial Development ◽  
Global Financial Crisis ◽  
East Asian ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Government Bond ◽  
Corporate Bond Market ◽  
The Government

Abstract The Asian financial crisis marked a turning point in financial development in East Asia that brought the development of bond markets within the focus of policy-makers. This paper tracks the benefits of an advanced bond market, the current state of the East Asian corporate and government bond markets and their rapid evolution since the Asian crisis. Subsequently, a multivariate model is used to determine the endogenous economic and institutional factors that drove growth in the region’s bond markets. The following findings may be noted: (1) growth in the government bond market was driven by the monetary sterilisation efforts of East Asian central banks in order to cope with excessive liquidity, (2) the government bond market may crowd out the corporate bond market, and (3) the corporate bond market grew particularly strongly during the global financial crisis.

GLOBALNO TRŽIŠTE KORPORATIVNIH OBVEZNICA

2021 ◽  
pp. 411-423
Author(s):  
Jasmina Labudović Stanković ◽  
Keyword(s):  
Global Financial Crisis ◽  
Small And Medium Enterprises ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Corporate Bond Market ◽  
The World ◽  
Policy Measures ◽  
The Global Financial Crisis ◽  
Medium Enterprises

In this paper, the author presents the situation in the global corporate bond market. Highlights the three largest corporate bond markets in the world - the US, China and the EU market. In the corporate bond market, mostly medium and large companies borrow, while this is much less often the case with small and medium enterprises. A developed and liquid corporate bond market is extremely important because it provides capital for investments, job financing and economic growth. The liquidity of this market has been called into question with the crisis 2007/2008 and the recession in which economies around the world found themselves. In order to help their economies and get them out of the crisis, and to provide capital to finance companies for business ventures, the states have also taken on an important role. The corporate bond market is reviving after the global financial crisis of 2007/2008, and is supported by unconventional monetary policy measures of some central banks in order to ensure the recovery of economies in crisis and provide the necessary liquidity.

Momentum in Korean Corporate Bond Market

2020 ◽  
Vol 33 (3) ◽  
pp. 301-338
Author(s):  
Minyeon Han ◽  
◽  
Jemoon Woo ◽  
Hyounggoo Kang
Keyword(s):  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market
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