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Financial Markets and Portfolio Management
Erschienen in: Financial Markets and Portfolio Management 3/2015

01.08.2015

Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market

verfasst von: Steve Janner, Daniel Schmidt

Erschienen in: Financial Markets and Portfolio Management | Ausgabe 3/2015

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Abstract

We examine the association between bond prices and corporate news for firms listed in the prime segment of the German stock market. Focusing on economically significant bond returns, we provide an overview of the various news categories that influence bond investors in their assessment of an issuer’s default risk. This approach allows us to draw direct comparisons with respect to size and time of impact. We find that (1) there is a strong relationship between economically significant changes in bond prices and corporate news, (2) earnings announcements and financing issues prevail in our analyses, and (3) on average, around half the significant bond returns occur within a period of one day before to one day after an event. This proportion is considerably small compared to the findings of related studies on the stock market. We also carry out a conventional event study analysis as an alternative approach to our main analysis.
Vorheriger Artikel Do not put all your eggs in one (time) basket
Nächster Artikel De Spiegeleer, J., Schoutens, W., & Van Hulle, C.: The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In

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Fußnoten
1
For an extensive review of event studies on diverse markets see, Corrado (2011). Cichello and Lamdin (2006) and Kothari and Warner (2007), for instance, provide an overview of event studies focusing on stock markets.
 
2
Seminal studies considering the impact of single-event categories on bond prices include Handjinicolaou and Kalay (1984); Warga and Welch 1993) and Billett et al. (2004).
 
3
For more detail on the Weka data-mining software, see Hall et al. (2009).
 
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Metadaten
Titel
Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market
verfasst von
Steve Janner
Daniel Schmidt
Publikationsdatum
01.08.2015
Verlag
Springer US
Erschienen in
Financial Markets and Portfolio Management / Ausgabe 3/2015
Print ISSN: 1934-4554
Elektronische ISSN: 2373-8529
DOI
https://doi.org/10.1007/s11408-015-0253-5

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De Spiegeleer, J., Schoutens, W., & Van Hulle, C.: The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In