Author: Aino Levonmaa
Publisher:
ISBN:
Category : Corporate bonds
Languages : en
Pages : 188
Book Description
Essays on the Market for Corporate Bonds
Author: Aino Levonmaa
Publisher:
ISBN:
Category : Corporate bonds
Languages : en
Pages : 188
Book Description
Publisher:
ISBN:
Category : Corporate bonds
Languages : en
Pages : 188
Book Description
Essays on the Corporate Bond Market
Author: William Robert Gebhardt
Publisher:
ISBN:
Category :
Languages : en
Pages : 284
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 284
Book Description
Three Essays on the Market Microstructure of U.S. Corporate Bond Markets
Essays in Corporate Bonds and Futures Markets
Author: Glen Barry Taksler
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 157
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 157
Book Description
Essays on the Corporate Bond Market
Author: Xiaoting Wei
Publisher:
ISBN:
Category :
Languages : en
Pages : 528
Book Description
This thesis investigates the impact of three corporate events on corporate bond prices in the U.S. Specifically, the first empirical essay examines whether bond prices exhibit delayed reactions to earnings announcements. The second essay examines whether bond prices react to equity analysts' recommendation revisions and the third essay examines whether bond prices react to unexpected dividend changes. The results from the first essay show that the bond price reactions to earnings news are asymmetric, with greater reactions following negative earnings surprises than following positive earnings surprises. This is consistent with the Black-Scholes (1973) bond pricing model. Bond price reactions are also reported to be affected by bond risk. Because issuers of riskier bonds are more likely to face default, earnings news is reported to be more pertinent to the value of riskier bonds.The second essay reports similar asymmetric bond price reactions. The bond price reactions appear to be directed more towards recommendation downgrades than towards upgrades. In addition, riskier bonds tend to exhibit stronger reactions to recommendation revisions than safer bonds do.The third essay documents significant and negative bond price reactions to dividend cuts and the significant reactions of speculative-grade (riskier) bonds to dividend changes. The bond price changes are in the same direction as the dividend changes are, which supports the dividend information content hypothesis rather than the wealth expropriation hypothesis, which would predict opposite bond price reactions.
Publisher:
ISBN:
Category :
Languages : en
Pages : 528
Book Description
This thesis investigates the impact of three corporate events on corporate bond prices in the U.S. Specifically, the first empirical essay examines whether bond prices exhibit delayed reactions to earnings announcements. The second essay examines whether bond prices react to equity analysts' recommendation revisions and the third essay examines whether bond prices react to unexpected dividend changes. The results from the first essay show that the bond price reactions to earnings news are asymmetric, with greater reactions following negative earnings surprises than following positive earnings surprises. This is consistent with the Black-Scholes (1973) bond pricing model. Bond price reactions are also reported to be affected by bond risk. Because issuers of riskier bonds are more likely to face default, earnings news is reported to be more pertinent to the value of riskier bonds.The second essay reports similar asymmetric bond price reactions. The bond price reactions appear to be directed more towards recommendation downgrades than towards upgrades. In addition, riskier bonds tend to exhibit stronger reactions to recommendation revisions than safer bonds do.The third essay documents significant and negative bond price reactions to dividend cuts and the significant reactions of speculative-grade (riskier) bonds to dividend changes. The bond price changes are in the same direction as the dividend changes are, which supports the dividend information content hypothesis rather than the wealth expropriation hypothesis, which would predict opposite bond price reactions.
Essays on Corporate Bond Markets
Author: Fan Chen
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 350
Book Description
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 350
Book Description
Three Essays on Corporate Bond Market Liquidity
Author: Jens Dick-Nielsen
Publisher:
ISBN: 9788759384473
Category :
Languages : en
Pages : 122
Book Description
The three essays study the US corporate bond market with special attention to bond liquidity. All essays are empirical studies which rely heavily on the availability of transactions data. Earlier studies had to use quoted bond prices for empirical studies, but with the introduction of the TRACE system and with the following dissemination of transaction prices the data quality on corporate bonds has improved immensely. In the years after 2000 a range of studies assessed the performance of structural credit risk models and found that they were not able to fully explain the size of the average credit spread for corporate bonds. Huang and Huang (2003) suggested (among others) that the remaining non-default-component of the credit spread was an illiquidity premium. Using transaction data this thesis studies the impact of illiquidity and trading frictions on corporate bonds.
Publisher:
ISBN: 9788759384473
Category :
Languages : en
Pages : 122
Book Description
The three essays study the US corporate bond market with special attention to bond liquidity. All essays are empirical studies which rely heavily on the availability of transactions data. Earlier studies had to use quoted bond prices for empirical studies, but with the introduction of the TRACE system and with the following dissemination of transaction prices the data quality on corporate bonds has improved immensely. In the years after 2000 a range of studies assessed the performance of structural credit risk models and found that they were not able to fully explain the size of the average credit spread for corporate bonds. Huang and Huang (2003) suggested (among others) that the remaining non-default-component of the credit spread was an illiquidity premium. Using transaction data this thesis studies the impact of illiquidity and trading frictions on corporate bonds.
Essays on the Corporate Bond Markets
Author: Paul-Olivier Klein
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This dissertation studies the corporate bond market. Results emphasize the role of legal environment and governance. The first chapter demonstrates the role of creditors' protection and information on the corporate bond market. It identifies a non-homogenous impact across firms. The second chapter uses a meta-analysis to scrutinize the effect of a bond offering on the firm's value. It stresses the reasons underlying diverging results in the literature so far. The third chapter focuses on the Chinese corporate bond market and highlights the role of state and management ownership on the value created by a bond offering. The fourth chapter isolates a religious bias from professional investors and contributes to the literature on the impact of behavioural biases on the firm's value.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This dissertation studies the corporate bond market. Results emphasize the role of legal environment and governance. The first chapter demonstrates the role of creditors' protection and information on the corporate bond market. It identifies a non-homogenous impact across firms. The second chapter uses a meta-analysis to scrutinize the effect of a bond offering on the firm's value. It stresses the reasons underlying diverging results in the literature so far. The third chapter focuses on the Chinese corporate bond market and highlights the role of state and management ownership on the value created by a bond offering. The fourth chapter isolates a religious bias from professional investors and contributes to the literature on the impact of behavioural biases on the firm's value.
Essays on Corporate Bond Market Liquidity and Dealer Behavior
Author: Andreas Christian Rapp
Publisher:
ISBN: 9789056685744
Category :
Languages : en
Pages : 169
Book Description
Publisher:
ISBN: 9789056685744
Category :
Languages : en
Pages : 169
Book Description
Essays in Over-the-counter Markets
Author: Yu An
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This thesis consists of three essays, which examine several issues in over-the-counter financial markets. The first essay shows that dealers build socially excessive inventories in order to compete for market share. The distortion in pricing is empirically identified using transaction level data in the U.S. corporate bond market. The second essay shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest. A direct implication is that bid-ask spread is a misleading measure of immediacy provision. The third essay introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Specifically, the first essay shows that dealers in over-the-counter markets build socially excessive inventories in order to compete for market share and get the associated intermediation rents. Using the TRACE dataset for the U.S. corporate bond market, I find that, excluding the crisis, the incentive to build inventory raises dealers' bid prices for corporate bonds by an average of 5 basis points. During the crisis, this effect was reversed by 23 basis points of implied additional dealer balance-sheet costs. The second essay, co-authored with Zeyu Zheng, shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest that leads dealers to hold inefficiently high levels of inventory in order to extract additional rents from customers. Because of this, bid-ask spread is a misleading measure of immediacy provision. Our model suggests the use of execution delays as an additional measure of immediacy provision. The third essay, co-authored with Yang Song and Xingtan Zhang, introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Using interdealer trades in the U.S. corporate bond market, we discover new types of intermediation chains that are not formed to mitigate search frictions or to facilitate liquidity provision. Instead, these chains arise when dealers intermediate trades for other dealers in order to unwind positions at a profit.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This thesis consists of three essays, which examine several issues in over-the-counter financial markets. The first essay shows that dealers build socially excessive inventories in order to compete for market share. The distortion in pricing is empirically identified using transaction level data in the U.S. corporate bond market. The second essay shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest. A direct implication is that bid-ask spread is a misleading measure of immediacy provision. The third essay introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Specifically, the first essay shows that dealers in over-the-counter markets build socially excessive inventories in order to compete for market share and get the associated intermediation rents. Using the TRACE dataset for the U.S. corporate bond market, I find that, excluding the crisis, the incentive to build inventory raises dealers' bid prices for corporate bonds by an average of 5 basis points. During the crisis, this effect was reversed by 23 basis points of implied additional dealer balance-sheet costs. The second essay, co-authored with Zeyu Zheng, shows that the two roles of a dealer, immediacy provision and matchmaking, create a conflict of interest that leads dealers to hold inefficiently high levels of inventory in order to extract additional rents from customers. Because of this, bid-ask spread is a misleading measure of immediacy provision. Our model suggests the use of execution delays as an additional measure of immediacy provision. The third essay, co-authored with Yang Song and Xingtan Zhang, introduces reducible intermediation chains in order to quantitatively measure search frictions in over-the-counter markets. This allows us to categorize intermediation chains by their primary intermediation incentives. Using interdealer trades in the U.S. corporate bond market, we discover new types of intermediation chains that are not formed to mitigate search frictions or to facilitate liquidity provision. Instead, these chains arise when dealers intermediate trades for other dealers in order to unwind positions at a profit.