Author: Robin Marc Greenwood Publisher: ISBN: Category : Languages : en Pages : 65
Book Description
Changes in the pricing of credit risk disproportionately affect the debt financing costs faced by low credit quality firms. As a result, time-series variation in the average quality of debt issuers may be useful for forecasting excess corporate bond returns. We show that when issuance comes disproportionately from lower quality borrowers, future excess returns on high yield and investment grade bonds are low and often significantly negative. The degree of predictability is large in both economic and statistical terms, with univariate R2 statistics as high as 30% at a 3-year horizon. The results are difficult to reconcile with integrated-markets models in which the rationally determined price of risk fluctuates in a countercyclical fashion. The results can be partially explained by models in which shocks to intermediary capital or agency problems drive variation in required returns. Finally, we consider models in which investor over-extrapolation plays a role and find some evidence in favor of these models.
Author: Robin Greenwood Publisher: ISBN: Category : Economics Languages : en Pages : 45
Book Description
We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. The key insight is that changes in the pricing of credit risk disproportionately affect the financing costs faced by low quality firms, so the debt issuance of low quality firms is particularly useful for forecasting bond returns. We show that a significant decline in issuer quality is a more reliable signal of credit market overheating than rapid aggregate credit growth. We use these findings to investigate the forces driving time-variation in expected corporate bond returns.
Author: Peter Ogwuche Iduh Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
Research in the area of finance in developed economies has long identified issuer credit quality as critical concern to investors. However, this do not receive much attention in developing countries such as Nigeria until recently. Thus, this study investigates the effect of issuer credit quality on corporate bond returns of some selected deposit money banks (issuers) in Nigeria for the period 11 years (2005-2015). The descriptive and correlational research designs were used and the data for the study were collected from the annual reports and accounts of sampled DMBs, SEC publications and NSE fact book for the period of study. The Panel Regression Model was used for data analysis and the findings showed that, Issuer credit quality had a significant negative effect on the corporate bond returns of the sampled deposit money banks (DMBs) listed on the Nigerian Stock Exchange. Based on these findings, it is the recommended that policymakers and regulators of DMBs in Nigeria should ensure regular and consistent periodic credit rating as it restores investors' confidence and that DMBs banks should ensure credible outlook that will reflect the quality of the corporate bond.
Author: F. Hagenstein Publisher: Springer ISBN: 0230523293 Category : Business & Economics Languages : en Pages : 355
Book Description
Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Author: Frank J. Fabozzi Publisher: John Wiley & Sons ISBN: 0471446394 Category : Business & Economics Languages : en Pages : 336
Book Description
Praise for Managing a Corporate Bond Portfolio "Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena." -Tim Opler Director, Financial Strategy Group, CSFB "A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read." -Mary Rooney Head of Credit Strategy, Merrill Lynch "As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one." -William H. Cunningham Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc. www.wileyfinance.com
Author: Robin Marc Greenwood
Author: Robin Greenwood
Author: Peter Ogwuche Iduh
Author: Edward I. Altman
Author: Walter Braddock Hickman
Author: Walter Braddock Hickman
Author: Thomas R. Atkinson
Author: F. Hagenstein
Author: Edward I. Altman
Author: Frank J. Fabozzi