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1
Cook, David. "Pricing Bond Yields in the European Bond Market." Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/9.
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This paper analyzes macroeconomic factors and their effect on 2-year government bonds of 11 countries in the European Monetary Union. I specifically looked at how a simultaneous budget and trade surplus effect a country's bond yield spread relative to Germany's bond yield. My model showed that double surplus countries have a larger yield spread than countries that do not have a double surplus.
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Koppmann, Tobias. "Gedeckte Schuldverschreibungen in Deutschland und Grossbritannien Pfandbriefe und UK covered bonds im Rechtsvergleich /." Berlin : de Gruyter Recht, 2009. http://site.ebrary.com/id/10348538.
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Rachello, Valentina <1994>. "THE GREEN BOND MARKET IN EMERGING MARKET ECONOMIES Green Bond Market Development and Green Premium analysis in Emerging Market Economies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/15699.
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Climate change represents one of the most discussed topics of the last decade, as well as one of the major cause for concern. In fact, related risks are not only limited to the environment itself, but they also jeopardize the society and the economy at both national and global levels. For this reason, between the variety of tools designed to deal with climate change effects, also finance made available new instruments whose aim is the enhancement of the transition to a low-carbon, climate-resilient economy. Among them, green bonds became the main fixed-income asset to finance sustainable projects in fields such as renewable energy, transport, carbon emission, waste management and pollution. This paper explores characteristics, role and scope of green bonds and provides an analysis of the green bond market, considering in particular its stage of development in selected emerging market economies. Finally, a technical analysis considering the presence of a green bond premium in the emerging markets concludes the last section.
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Peterson, Rickard, Linn Höglund, and Carl Jarnegren. "Corporate Bonds : Analyzing the availability of the Swedish bond market." Thesis, Jönköping University, JIBS, Business Administration, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-458.
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In the past, the Swedish bond market has been distinguished for its illiquidity and difficulties with retrieving information. This is the starting point of our thesis and the purpose is to analyze and describe the availability of the present corporate bond market for manufacturing firms in Sweden. In order to fulfill the purpose, a qualitative method was used and interviews with different operators of the market were conducted. Our respondents were sampled from large issuing companies, the major intermediaries and companies that have not tried bonds as a financing tool.
To fulfill our purpose, we analyzed subjects as credit rating, capital market segmentation, regulations and volume. We came to the conclusion that the Swedish corporate bond market is somewhat underdeveloped. This is due to the lack of public information regarding the bonds, such as prices, outstanding bonds and interest rates.
The availability for already active companies is good, mainly due to the important role the intermediaries play. The regulations set by authorities do not have great effect on the large companies in general, since they issue large amounts, the cost associated with the regulations do not affect them in a considerable way. One could rather see a positive side with the regulations, for example the increase of foreign issuers that entered the market the last couple of years and hence increasing the liquidity. A credit rating is sometimes beneficial but not always, it is not a necessity to enter the bond market.
As a matter of fact, it seems like volume is the most important reason to why medium-sized companies have limited access to the market. Since the minimum recommended volume to issue is 50 million SEK, many companies are excluded due to lack of financing need. Another important factor concerning medium-sized companies is that they do not have sufficient experience, knowledge or interest in the bond market. There are probably companies that would like to enter the bond market, who do not have the opportunity to do so, but this do not have anything to do with the lack of credit rating, rather the high cost associated with it.
The conclusion drawn is that it is hard to compare small and medium-sized companies with large already established actors. This is due to different need of capital and overall knowledge about the debt market.
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Priyadarshi, Samaresh. "Optimal Bond Refunding: Evidence From the Municipal Bond Market." Diss., Virginia Tech, 1997. http://hdl.handle.net/10919/40526.
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This dissertation empirically examines refunding decisions employed by issuers of tax-exempt bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the time value. The issuer can realize at least as much as the intrinsic value by exercising immediately, when the option is in-the-money. Usually it is optimal for the holder of an in-the money American option to wait rather than exercise immediately, because the option has time value. It is rational for the holder to exercise the option when the total value of the option is no more than the intrinsic value. Option pricing theory can be used to identify two sub-optimal refunding strategies: those that refund too early, and those that refund too late. In such cases the holder incurs losses.
I analyze the refunding decisions for two different samples of tax-exempt bonds issued between 1986 and 1993: the first consists of 2,620 bonds that are called, and the second contains 23,976 bonds that are never called. The generalized Vasicek (1977) model in the Heath, Jarrow, and Morton (1992) framework is used to construct binomial trees for interest rates, bond prices, and call option prices. The option pricing lattice is then used to compute the loss in value from sub-optimal refunding strategies, refunding efficiency, and months from optimal time for bonds in these two samples.
Results suggest that sub-optimal refunding decisions cause losses to the issuers, which are present across bond and issuer characteristics. For the pooled sample of 26,596 bonds, the loss in value from sub-optimal refunding decisions totaled $7.2 billion, amounting to a loss of about 1.75% of total principal amount. Results indicate that issuers either wait too long to refund or never refund and cannot realize the present value saving of switching a high coupon bond with a low coupon bond, over a longer period of time. These results critically depend on the assumptions of underlying term structure model and are sensitive to model calibrated parameter values.Ph. D.
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Sato, Kathy K. "Bond pricing with taxes in the US government bond market." Thesis, University of British Columbia, 1991. http://hdl.handle.net/2429/29696.
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Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conflicting arguments. The first is that of Schaefer's clientele effects. Schaefer finds that because of differing tax implications, investors will prefer some bonds to others, and no investor will want to hold all bonds. Litzenberger and Rolfo, meanwhile argue that a representative investor exists, and that all bonds are correctly priced for each tax bracket. In this situation, investors will hold positive amounts of all bonds.
The purpose of this thesis, is to test which of these arguments hold in the US government
bond market. A methodology similar to that used by Schaefer will be employed, however, we will replace the linear combination of Bernstein polynomials used by Schaefer with a different functional form known as basis splines.
The period examined encompasses the pre-legislation, legislation, and the post-legislation period of the Tax Reform Act of 1986. We find that clientele effects exist during the pre-legislation period, that they diminish during the legislation period, and then disappear in post-legislation period.Business, Sauder School of
Finance, Division of
Graduate
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Víťazka, Peter. "CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-165972.
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The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.
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Kim, Yong-Cheol. "Analysis of the Eurobond market /." Connect to resource, 1987. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265040192.
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Engman, Kristofer. "Bidding models for bond market auctions." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252346.
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In this study, we explore models for optimal bidding in auctions on the bond market using data gathered from the Bloomberg Fixed Income Trading platform and MIFID II reporting. We define models that aim to fulfill two purposes. The first is to hit the best competitor price, such that a dealer can win the trade with the lowest possible margin. This model should also take into account the phenomenon of the Winner's Curse, which states that the winner of a common value auction tends to be the bidder who overestimated the value. We want to avoid this since setting a too aggressive bid could be unprofitable even when the dealer wins. The second aim is to define a model that estimates a quote that allows the dealer to win a certain target ratio of trades. We define three novel models for these purposes that are based on the best competitor prices for each trade, modeled by a Skew Exponential Power distribution. Further, we define a proxy for the Winner's Curse, represented by the distance of the estimated price from a reference price for the trade calculated by Bloomberg which is available when the request for quote (RFQ) arrives. Relevant covariates for the trades are also included in the models to increase the specificity for each trade. The novel models are compared to a linear regression and a random forest regression method using the same covariates. When trying to hit the best competitor price, the regression models have approximately equal performance to the expected price method defined in the study. However, when incorporating the Winner's Curse proxy, our Winner's Curse adjusted models are able to reduce the effect of the Winner's Curse as we define it, which the regression methods cannot. The results of the models for hitting a target ratio show that the actual hit ratio falls within an interval of 5% of the desired target ratio when running the model on the test data. The inclusion of covariates in the models does not impact the results as much as expected, but still provide improvements with respect to some measures. In summary, the novel methods show promise as a first step towards building algorithmic trading for bonds, but more research is needed and should incorporate more of the growing data set of RFQs and MIFID II recorded transaction prices.I denna studie utforskar vi modeller för optimal budgivning för auktioner på obligationsmarknaden med hjälp av data som samlats in från plattformen Bloomberg Fixed Income Trading och MIFID II-rapportering. Vi definierar modeller som ämnar att uppfylla två syften. Det första är att träffa det bästa konkurrentpriset så att en handlare kan vinna auktionen med minsta möjliga marginal. Denna modell bör också ta hänsyn till fenomenet Winner's Curse, som innebär att vinnaren av en så kallad common value auction tenderar att vara den budgivare som överskattat värdet. Vi vill undvika detta eftersom det kan vara olönsamt att skicka ett alltför aggressivt bud även om handlaren vinner. Det andra syftet är att definiera en modell som uppskattar ett pris som gör det möjligt för handlaren att vinna en viss andel av sina obligationsaffärer. Vi definierar tre nya modeller för dessa ändamål som bygger på de bästa konkurrentpriserna för varje transaktion vi har data på. Dessa modelleras av en Skew Exponential Power-fördelning. Vidare definierar vi en variabel som indirekt mäter fenomenet Winner's Curse, representerad av budprisets avstånd från ett referenspris för transaktionen beräknad av Bloomberg som är tillgänglig när en request for quote (RFQ) anländer. Relevanta kovariat för transaktionen implementeras också i modellerna för att öka specificiteten för varje transaktion. De nya modellerna jämförs med en linjärregression och en random forest-regression som använder samma kovariat. När målet är att träffa det bästa konkurrentpriset ger regressionsmodellerna ungefär samma resultat som expected price-modellen som definieras i denna studie. När man däremot integrerar effekten av Winner's Curse med den definierade indirekta variablen kan vår Winner's Curse-justerade modell minska effekten av Winner's Curse, vilket regressionsmetoderna inte kan. Resultaten av modellerna som ämnar vinna en förbestämd andel av transaktionerna visar att den faktiska andelen transaktioner som man vinner faller inom ett intervall på 5% kring den önskade andelen när modellen körs på testdata. Att inkludera kovariat i modellerna påverkar inte resultaten till den grad som uppskattades, men ger mindre förbättringar med avseende på vissa mättal. Sammanfattningsvis visar de nya metoderna potential som ett första steg mot att bygga algoritmisk handel för obligationer, men mer forskning behövs och bör utnyttja mer av den växande datamängden av RFQs och MIFID II-rapporterade transaktionspriser.
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Pal, Satyajit Banking & Finance Australian School of Business UNSW. "Profitability of butterfly trades in bond markets." Awarded by:University of New South Wales. Banking & Finance, 2007. http://handle.unsw.edu.au/1959.4/40713.
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The Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).
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Zhang, Hao. "PhD thesis on liquidity of bond market." Thesis, City University London, 2013. http://openaccess.city.ac.uk/2983/.
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This thesis consists of empirical and theoretical studies on the liquidity of bond markets. In the first study, we present an extended model for the estimation of the effective bid-ask spread that improves the existing models and offers a new direction of generalisation. The quoted bid-ask spread represents the prices available at a given time for transactions only up to some relatively small trade size. Trades can be executed inside or outside the quoted bid-ask spread. Thus, we extend Roll's model to include multiple spreads of different sizes and their associated probabilities. The extended model is estimated via a Bayesian approach, and the fit of the model to a time series of a year of corporate bond transaction data is assessed by a Bayesian model selection method. Results show that our extended model fits the data better. Our second study examines the relationships between different liquidity proxies and the non-default corporate yield spread as well as the effective bid-ask spread. We first separate the non-default component of bond spreads from the default one by using the information contained in credit default swaps. We then apply our state-space extension of the Roll model to disentangle the unobservable non-default yield spread from the effective bid-ask spread. The empirical results show that the non-default yield spread has a nonlinear relationship with time to maturity and a positive correlation with the bid-ask spread as well as with the default risk, and therefore may reflect the future expected liquidity. We find that the effective bid-ask spread is related to bond characteristics associated with illiquidity (e.g. timeto-maturity and issue amount) and trading activity measures (e.g. daily turnover, and daily average trade size), indicating that transactions costs are more likely to be associated with the current level of liquidity rather than the future expected liquidity. We also find that the non-default component accounted for a bigger proportion of the yield spread before the financial crisis 2007 - 2009, whereas during the crisis credit risk played a more influential role in determining the yield spread. Common factors such as the underlying volatility and CDS spread explain more of the variation in the non-default yield spread and the bid-ask spread than idiosyncratic factors such as timeto-maturity, issue size, and trading activity proxies do. The third study presents an equilibrium model in which the heterogeneity of liquidity among bonds is determined endogenously. In particular we show that bonds differ in their liquidity despite having identical cash flow, riskiness and issue amount. Under certain conditions, we show that investors have strong preference for concentrating trading on a small number of bonds. We conjecture that the identity of the ones which are traded may result from a `Sunspot' equilibrium where it is optimal for traders to randomly label a subset of the bonds as the `liquid' ones and concentrating trading on them. We also show that changing the model assumptions leads to different equilibrium configurations where trading is spread over the bonds. In addition, by utilising the concepts of stochastic dominance, utility indifference pricing, and some specific assumptions on asset value and order arrival rate, the equilibrium prices and bid-ask spreads can be quantified.
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Ndlovu, Josiel. "Analysis of South African corporate bond market." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/52654.
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Study project (MBA)--University of Stellenbosch, 2002.ENGLISH ABSTRACT: The bond market is an important economic element of both developed and developing economies. The after effects of the Asian crises have prompted arguments that the existence of well-functioning domestic bond markets would have helped to mitigate the impact of shocks in the financial systems of the emerging markets both by providing an alternative source of funding to bank lending and by exposing investors rather than taxpayers to negative shocks. Comparative analyses of various emerging markets were done by using data from the IMF, IFC and various publications. Data from the developed nations, in particular the United States were used as a source of reference because corporate bond market has been used successfully in these markets. Given the limited sources of reference locally, data was sourced mainly from the Bond Exchange of South Africa publications, financial magazines and newspapers, workshop presentations and comments from various bankers, economists and fixed-income analysts. The report starts by looking at the size and growth of the market in comparison with its counterparts in the emerging markets. The reasons, facts, figures and arguments for such growth are thoroughly discussed. This study presents comprehensive macro-economic arguments on the development of the corporate bond market and the benefits they offer to corporates as an alternative source of long-term capital debt funding. The quantitative and qualitative model that assists corporates with the decision making process of whether to issue a bond to fund the capital structure is discussed. The study undertook a quantitative survey of the elements of corporate bond market in terms of coupon rates, bond pricing, risks (namely, credit rating risk and default risk) and the performance of the market, in particular the marketability, liquidity and returns. The investment strategy in the riskier part of the bond market is introduced and discussed, though limited in terms of development. The report concludes by mentioning the successes of the bond market by identifying the existing gaps in the market and the future development of the corporate bond market in South Africa, especially to attract more issuers to the net.
AFRIKAANSE OPSOMMING: Die lang termyn effekte mark, is "n belangrike finansierings element van beide die ontwikkelde en die ontwikkelende ekonomië. Die Asiese krises het as nagevolg gehad dat daar gefokus kon word op die moontlik versagtende invloed van "n goed gedefinieerde funksionele binnelandse effekte mark. Dit kon van die nagevolge versag het deur die daarstelling van "n alternatiewe finansierings bron en die daaropvolgende blootstelling van beleggers in die plek van die belastingbetalers. Vergelykende ontledings van verskeie ontwikkelende mark ekonomië is gedoen deur gebruikmaking van inligting verskaf deur die I.M.F. en I.F.K. asook ander publikasies. Inligting oor ontwikkelde lande in besonder die V.S.A. is gebruik as vergelykende anelise omdat die lang termyn effekte mark suksesvol bedryf word in hierdie markte. Weens die gebrekkige beskikbaarheid van binnelandse bronne i sinligting meestal vanaf die publikasies van die Lang Termyn Effekte beurs van Suid Afrika, finansiële tydskrifte, koerant publikasies, werkswinkel voorleggings asook gespekke met bankiers, ekonome en vaste koers beleggings ontleders verkry. Hierdie studie stuk, vergelyk in die eerste deel die omvang en groei van die mark in vergelyking met ander markte in ontwikkelende lande. Die verskeie groei veranderlikes asook redes en feite rakende groei word in diepte bespreek. Vergelykende makro ekonomiese bewyse vir die ontwikkeling en vestiging van "n lang termyn effekte mark, en die voordele daarvan vir Maatskappye as "n alternatiewe bron van kapitaal word in hierdie studie aangebied. Die kwantitatiewe en kwalitatiewe model vir gebruik deur Maatskappye om tot besluitneming te kom rakende die gebruik van effekte om kapitaal benodighede te befonds word ook bespreek. Die studie het ook "n kwantitatiewe opname ingesluit rakende die verskeie elemente van d ie effekte mark en 0 nder a ndere is daar nad ie koepon koerse, effekte prys bepaling, risiko (naamlik krediet en dishonorering), mark tendense en opbrengste, met besondere verwysing na bemarkbaarheid, likwiditeit en opbrengs. Beleggings strategie in die meer riskante deel van die lang termyn effekte mark word ook bespreek, maar dit is beperk weens die beperkte ontwikkeling daarvan. Afsluitend word verwys na verskeie sukses faktore in die effekte mark deur die indentifisering van bestaande gapings, en die toekomstige ontwikkeling van hierdie spesifieke mark in Suid Afrika. Die doelstelling om meer toetreders na die mark te lok as deelnemers deur die uitgifte van lang termyn effekte word ook benadruk.
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Theocharides, George. "Two Essays on the Corporate Bond Market." Diss., The University of Arizona, 2006. http://hdl.handle.net/10150/194948.
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This dissertation consists of two papers. The first paper examines the propagation of firm-specific shocks as well as market-wide shocks between 1995-2003 using Treasury and corporate bond market data. It then tests the implications of previously proposed models of contagion. I find little support for the industry and counterparty structure hypothesis, suggesting that fundamentals do not generate contagion. Consistent with the information transmission, rebalancing, and liquidity-shock hypotheses, I find evidence of flight to quality during the event periods. However, in contrast to the prediction of the liquidity-shock channel, the corporate bond market, on average, seems to be more liquid during event periods (evidenced by higher trading volume, trading frequency, and mean bond age). Furthermore, there are no significant changes in the trading of assets with the low transaction costs, which is contrary to the rebalancing theory. These findings are more in favor of the correlated information channel as a means of inducing contagion.The second paper examines the effect of liquidity on corporate bond prices using the newly formed TRACE data set. In the spirit of Acharya and Pedersen's (2005) liquidity-adjusted capital asset pricing model (LCAPM), I examine the impact of multiple sources of risk on corporate bond prices. The results do not lend strong support for the existence of liquidity risk in the corporate bond market or for the LCAPM, especially when liquidity is captured using the trading frequency, trading volume, and turnover. Contrary to the predictions of the LCAPM, more illiquid portfolios do not have higher values for the three liquidity betas; betas that capture the commonality in liquidity with the market, the sensitivity in returns with the market-wide liquidity, and the liquidity sensitivity with the market returns. Furthermore, after running cross-sectional regressions I do not find strong evidence either for the validity of the model or that liquidity risk does matter for the corporate bond prices.
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Sönnerhed, Alexander, and Sebastian Berg. "Green Bonds vs Conventional Bonds : Market efficiency test on green bond funds vs conventional bond funds when faced with external shocks causing stress." Thesis, Jönköping University, IHH, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52622.
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This thesis investigates the effects of environmental and economic disasters on green bond funds and conventional bond funds during the years 2016-2020. The research emphasizes how a saver could act when comparing green bond funds and conventional bond funds for investing purposes. Based on previous research, there are indications that green bonds and conventional bonds differ in pricing despite having the same economic quality. This research investigates bond funds rather than singular bonds. The tests in this study are quantitative based on hypothetico-deductive approach. Based on hypothesis testing through the Mann-Whitney-U test, green bond funds and conventional bond funds act similarly during events of stress, and there is no statistically significant evidence which proves that investing solely in either of the two groups is better than the other. In accordance to the Efficient Market Hypothesis, this thesis suggests that the bond funds act similarly because in essence they are the same financial instrument and act according to their ratings and qualities. From a saver’s perspective, it is therefore better to look at the quality and rating of a fund rather than what category of fund it is.
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Cooke, Christopher. "Is Free Riding affecting Market Discipline in the Euro Sovereign Bond Market?" Thesis, London Metropolitan University, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.515327.
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The aim of this research is to investigate how the failure of the members of the EMU to uphold the goals of the Stability and Growth Pact (SGP) has affected the Euro sovereign bond markets and its ability to enforce market discipline. To date 7 of the 11 member states of the Euro zone have violated the principles of this pact, and yet the bond market has shown little appetite to punish those with high deficits and national debts. The danger going forward is that each country will find ways to justify growing fiscal deficits, contented in the knowledge that there will be no formal pressure from other EMU countries and that the interest rate burden will be the equivalent for all EMU countries. Thus, there appears to be an element of "free-riding" by those governments who feel there is an unwritten bail-out in the workings of the system (despite official pronouncements to the contrary). Therefore my research investigates whether monetary union has weakened the disciplinary function of the Euro debt markets. To this end, I carried out an investigation of the microstructure of European bond markets, and in particular the effects on Liquidity risk with the introduction of electronic trading. There is clear evidence that increased transparency has benefited the bond market by increasing liquidity and thereby reducing liquidity risk. Building a testable model I place the "liquidity risk premium" in its historical context and highlight the dominant role of credit risk in explaining the yield differential with the eurozone. I expand on the research carried out by Cantor and Packer (1996) on the determinants of sovereign's yields and apply their model to the members of the eurozone. This shows that one of the two pillars of the SGP, government deficits, is almost completely ignored by the market in assessing sovereign risk. Instead, GDP per Capita and Debt/GDP seem to be the main drivers in determining the yield of a sovereign. Also, in contrast to Cantor and Packer results, where the yield curve increases in a convex shape as the risk ofdefault increasest,h e eurozonec urve is much more concavei n nature,w hich agreesw ith my "free-riding" hypothesis. Building on the research carried out by Dunne, Moore and Portes (2006), I employ cointegration to model the inter-relationships between different issuer bonds. However, rather than look for a benchmark issuer, I use the model to explore the common regional drivers and investigate the systemic effects that resemble a tacit "bail-out" condition. I show that the regional effect dominates the individual or country specific risk within the bond market. This shows that investors see the eurozone as a single bloc rather than as separate issuers individually responsible for their own debt. Using an Error Correction Model I investigate the short-run dynamics of bond yields and relate these to the underlying fundamentals of the respective issuer, with low risk issuers having higher speed-of-adjustments than high risk sovereigns. This corresponds to investors views of the 'core members' eg. Germany, France etc. are more homogeneous than and the 'outer members', Italy, Greece, Portugal etc. In conclusion, my research shows that there are significant issues of "free-riding" within the eurozone bond market and it is still far from efficient.
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Karimi, Niousha, and Isac Lago. "Green Bond’s co-movement with the treasury bond, corporate bond, stock, and carbon markets during an economic recession." Thesis, Jönköping University, IHH, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52683.
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Background: With the tremendous growth of the Green Bond (GB) market, understanding the relationship of the GB market with other financial markets gains importance. The Covid19 pandemic causing a recession in most major economies creates an opportunity to see the co-movements of the GB market with other financial markets under a period of economic crisis. Purpose: This study aims to use the economic contraction catalyzed by the 2020’s Covid-19 pandemic as a means to investigate the co-movements between the GB and the treasury bond, corporate bond, stock, and carbon markets during an economic recession. Through this, we intend to find if co-movements of the GB market have changed, and if so, how. Method: As the collected data is time-series data, Augmented Dickey-Fuller and Ljung-Box tests are utilized for preliminary testing. Thereafter, a univariate-GARCH model is used for volatility modeling. Moreover, the DCC-GARCH model has been conducted to determine the co-movements between the markets. Conclusion: The results of the study show that in the case of GB, treasury, and corporate bond markets, no considerable changes were observed in the co-movement among the two different sample periods. Moving to the stock and GB markets, it was found that the co-movement increased at the beginning of the crisis. However, for the whole crisis period, no substantial changes can be seen in comparison to the pre-crisis period. Furthermore, the co-movement between the two markets was found to be weak in general. Moving on to the results obtained for GB and carbon markets, at the start of the crisis, a sharp fall can be observed. When compared to the pre-crisis period, the co-movement showed a slight increase, yet very weak. Furthermore, it was observed that the co-movement between the two markets has been weak during the whole sample period.
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Bacco, Max, and Sá Gustafsson Madeleine de. "How to Improve the Swedish Corporate Bond Market." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-299597.
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In late Mars 2020, Covid19was declared to be a pandemic by the World Health Organization.The following crisis negatively affected the overall economy and also the Swedish corporate bond market. Generally, corporate bonds have been described as secure investments during turbulent market conditions, but now they decreased in value rapidly. The sellpressure was of unprecedented measures and it became difficult and costly for companies to issue new corporate bonds in order to refinance operations. Meanwhile, it became difficult for investors to sell their holdings as the liquidity deteriorated. Shortly after, the Swedish National Bank declared the Swedish corporate bond market to be highly dysfunctional. Moreover, the Swedish National Bank and the Financial Supervisory Authority identified some characteristics of the Swedish corporate bond market that contributed to the severe market stress, namely; (1) Limited liquidity and a small market (2) Lacking transparency and unreliable price information (3) Most issuers lacking a credit rating (4) A homogeneous group of investors and (5) Real estate companies constituting a large share of total issuers. These characteristics are defined as the five areas of concern in this thesis. This qualitative study is based on interviews with market participants. The objective is to identify which area of concern should be prioritized in order to improve the Swedish corporate bond market and which improvement measure is deemed most effective. The results show that transparency is the area of concern that should be prioritized. Nevertheless, the new selfregulations that will be implemented July 1st, 2021 with the purpose to improve transparency is not deemed to be enough, but rather a step in the right direction. Therefore, an iterative process is suggested, continuously evaluating and adjusting, ensuring that transparency improves but not to such an extent that liquidity is negatively impacted.I mars 2020 deklarerade Världshälsoorganisationen att spridningen av Covid19 hade utvecklats till en pandemi. Krisen påverkade hela världsekonomin negativt och även den svenska företagsobligationsmarknaden. Företagsobligationer har generellt beskrivits som säkra investeringar under turbulenta marknadsförhållanden, men nu förlorade de sitt värde mycket snabbt. Försäljningstrycket var enormt och gjorde att det blev dyrt för företag att emittera nya obligationer och refinansiera sin verksamhet. Samtidigt blev det svårt för investerare att sälja sina innehav då likviditeten snabbt försämrades. Strax därefter uppgav Riksbanken att företagsobligationsmarknaden var högst dysfunktionell. Vidare identifierade Riksbanken och Finansinspektionen fem karaktärsdrag på den svenska företagsobligationsmarknaden som kan ha bidragit till den stressade marknadssituationen. Karaktärsdragen var följande; (1) Begränsad likviditet och en liten marknad (2) Bristande transparens och opålitlig prisinformation (3) Faktumet att många emittenter saknar kreditbetyg (4) En homogen grupp av investerare (5) Majoriteten av emittenterna utgörs av fastighetsbolag. De fem identifierade karaktärsdragen har definierats som de fem problemområdena i följande uppsats. Uppsatsen är en kvalitativ studie baserad på intervjuer med marknadsaktörer. Målet är att identifiera vilket av de fem problemområdena som bör prioriteras i arbetet mot en förbättrad företagsobligationsmarknad samt att fastslå vilka förbättringsåtgärder som anses vara mest effektiva. Resultaten visar att transparens är de problemområde som bör prioriteras men att den nya självregleringen som skall implementeras den första juli år 2021 med syftet att förbättra transparensen anses vara otillräcklig. För att förbättra transparensen föreslås en iterativ process med kontinuerlig utvärdering och anpassning av regleringar. Genom en iterativ process kan man även säkerställa att transparenskraven inte blir så pass strikta att de påverkar likviditeten negativt.
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Neubert, Timothy Miles James A. "Money market funds vs. ultra-short bond funds." [University Park, Pa.] : Pennsylvania State University, 2009. http://honors.libraries.psu.edu/theses/approved/WorldWideIndex/EHT-35/index.html.
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Shi, Ying, and Kristine Jurevica. "The Impacts of the COVID-19 Pandemic on the European Green Bond Market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-448481.
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This thesis examined the effect of non-financial motives, namely pro-environmental or sustainability preference, in bond pricing on the European secondary market before and during the COVID-19 crisis over the period 02.01.2019-26.02.2021. To estimate the potential yield spread between green bonds and matched conventional bonds, we applied a stringent matching method and fixed-effect regression to explore the green bond premium. The result indicated a small positive premium of 0.46 bps before the COVID-19 (01.2019-02.2020) and a small negative premium of 0.2 bps during the ongoing COVID-19 crisis (03.2020-02.2021), and the premiums have significantly changed between the two study periods, implying that the COVID-19 had a significant effect on the GB premium. Thus, before the pandemic, investors demanded compensation in the form of a higher yield return on investing in green bonds; however, during the pandemic, investors are willing to accept a lower yield on the GBs in comparison to the equivalent CB to finance environmentally-friendly projects. Additionally, the paper investigated bond volatility by analyzing the standard deviation of the daily yield. Although green bonds tended to have a higher volatility, no robust conclusion could be drawn due to a lack of statistical significance.
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Andersson, Oscar. "The Smile of Corporate Bonds : Size Risk Premium on the Swedish Corporate Bond Market." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-298390.
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This paper examines whether the total amount issued of a company has an effect on corporate bonds’ yield spreads on the Swedish debt capital market. With panel data regression of over 150,000 observations from over 20 investment graded companies, it is found that the relationship is smile-like. Companies with lower and higher amount of issued bonds have a higher yield spread compared to those in the middle-size range of the same credit risk. The significance hold after controlling for other regressors such as bond-specific, firm-specific, and macroeconomic variables. The effect can be viewed as a market-illiquidity problem from the theory of constrained investors where Swedish issuers outgrow the smaller SEK market and the yield spread levels are not fully explained by default risk determinants. The paper’s result indicates that the total amount outstanding of a company has a role in explaining the dynamics of corporate bonds’ yield spread.Denna uppsats undersöker om det totala utfärdade beloppet för ett företag har en effekt på företagsobligationers yield spread på den svenska skuldkapitalmarknaden. Med paneldataregression på över 150,000 observationer från över 20 investeringsgraderade företag kan det konstateras att förhållandet är icke-linjärt. Företag med lägre och högre belopp emitterade obligationer har en högre yield spread jämfört med dem i medelstorleksintervallet av samma kreditrisk. Signifikansen håller efter kontroll för andra regressorer, såsom obligationsspecifika, företagsspecifika och makroekonomiska variabler. Effekten kan ses som ett problem med illikviditet på marknaden utifrån teorin om begränsade investerare där svenska emittenter växer ifrån den mindre SEK-marknaden. Uppsatsens resultat indikerar att det totala utestående beloppet för ett företag har en roll i att förklara dynamiken i företagsobligationernas yield spread.
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Perlin, Marcelo. "The microstructure of fixed income markets : Theory and evidence for the european bond market." Thesis, Henley Business School, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533738.
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Cecil, Ben P. "Municipal bond ratings, a pre-investment financial market perspective." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape4/PQDD_0018/NQ58118.pdf.
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Visconti, Roberto Moro. "Some new topics in the Italian government bond market." Thesis, University of Exeter, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390198.
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Sze, Winnie W. Y. "A critical assessment of the South African bond market." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/28986.
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This paper looks at the experience of South Africa in the development of its local‐currency, so‐called domestic, bond market. Whilst South Africa had the deepest financial market in Sub‐Saharan Africa it also had one of the shallowest domestic bond markets, until 2009. This changed with the rapid bond issuances by the national government as a means to fund its expanding government expenditure. The paper finds that the government issuances served to deepen the market for rand‐based bonds and lengthen the maturities of bonds, for the benefit of itself, state‐owned enterprises, and the private sector, particularly the banks. At the same time, it has heightened the risk of negatively impacting economic development. The World Bank and other multilaterals advocate the development of the domestic bond market as a financial cushion against financial stress and as a way to better channel domestic savings towards domestic investment. There is argument that South Africa's domestic bond market acts as a substitute and competition for the dominant bank market. At the same time, given the market infrastructure and regulation, there is also high risk that the bond market could act as a co‐contagion in the event of a bank crisis. There is no evidence that total savings improved as a result of the bond market, however the provision of a long‐term instrument more theoretically suitable to South Africa's specialist pension and insurance funds suggest that the market provides beneficial intermediation. The recommendations focus on mitigating the negative biases of market infrastructure supports and the pension fund regulation.
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Nguyen, Andersson Peter. "Liquidity and corporate bond pricing on the Swedish market." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-142360.
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In this thesis a corporate bond valuation model based on Dick-Nielsen, Feldhütter, and Lando (2011) and Chen, Lesmond, and Wei (2007) is examined. The aim is for the model to price corporate bond spreads and in particular capture the price effects of liquidity as well as credit risk. The valuation model is based on linear regression and is conducted on the Swedish market with data provided by Handelsbanken. Two measures of liquidity are analyzed: the bid-ask spread and the zero-trading days. The investigation shows that the bid-ask spread outperforms the zero-trading days in both significance and robustness. The valuation model with the bid-ask spread explains 59% of the cross-sectional variation and has a standard error of 56 bps in its pricing predictions of corporate spreads. A reduced version of the valuation model is also developed to address simplicity and target a larger group of users. The reduced model is shown to maintain a large proportion of the explanation power while including fewer and simpler variables.I denna uppsats undersöks en värderingsmodell för företagsobligationer, baserad på studierna av Dick-Nielsen, Feldhütter, och Lando (2011) och Chen, Lesmond, och Wei (2007). Syftet med modellen är att kunna prissätta företagsobligationer med precision och i synnerhet hantera priseffekten av likviditet och kreditrisk. Värderingsmodellen är baserad på linjär regression och är tillämpad på den svenska marknaden. Den underliggande datan i undersökningen är tillhandahållen av Handelsbanken. Två mått av likviditet är analyserade: bid-ask-spreaden och noll-handlingsdagarna. Undersökningen visar att likviditetsmåttet för bid-ask-spreaden överträffar måttet för noll-handlingsdagarna i både signifikans och robusthet. Värderingsmodellen, med bid-ask-spreaden som likviditetsmått, förklarar 59% av variationen, mätt i justerat r-kvadrat värde. Standardfelet för modellen är 56 baspunkter. Vidare utvecklas också en reducerad version av värderingsmodellen i syfte att vara mer praktiskt användbar och tillgänglig för en större användargrupp. Undersökningen visar att den reducerade modellen bibehåller en stor del av förklaringsgraden av den ursprungliga modellen, samt att den inkluderar färre och enklare variabler.
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Sigaux, Jean-David. "Essays on Sovereign Bond Markets." Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLH005/document.
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Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui conduisent à des ventes anticipées d'actifs telles que les enchères du Trésor. Dans le modèle, les investisseurs averses au risque anticipent une vente d'actifs dont l'ampleur − et donc le prix − sont incertains. Je montre que les investisseurs font face à un compromis entre se hedger au moyen d'une position longue et spéculer sur la différence entre le prix avant la vente et le prix espéré de vente. En raison du hedging, le prix d'équilibre est supérieur au prix de vente espéré. À l'approche de la date de vente, l'incertitude quant au prix de vente diminue, les positions spéculatives à découvert augmentent et le prix diminue. Conformément aux prédictions, je trouve que le rendement des bons du Trésor italien augmente de 1,2 points de base après la publication d'informations sur le prix d'enchère, par rapport aux jours sans information.Dans le troisième chapitre, j'étudie le lien entre les prix et les taux repo au cours de la crise des subprimes. Je trouve que la relation de non-arbitrage entre les prix et les taux repo de Duffie (1996) performe moins bien pendant la crise. Cependant, les obligations à faible taux repo ont 18.0% plus de chance d'être plus coûteuses que les obligations identiques à taux repo élevé lors de la crise, contre seulement 9.0% avant la crise. Dans l'ensemble, bien qu'il existe de fortes limites à l'arbitrage, les prix et les taux repo présentent des co-mouvements plus importants pendant la criseIn the first chapter, I ask if short-sellers are superiorly informed about sovereign auctions. I find a large average increase in demand for short-selling prior to auctions. Yet, the demand for short-selling a bond does not predict a subsequent increase in the bond's yield. Overall, there is no evidence that short-sellers predict or interpret auction outcomes better than the market.In the second chapter, I develop and test a model explaining the gradual price decrease observed in the days leading to large anticipated asset sales such as Treasury auctions. In the model, risk-averse investors anticipate an asset sale which magnitude, and hence price, are uncertain. I show that investors face a trade-off between hedging the price risk with a long position, and speculating on the difference between the pre-sale and the expected sale prices. Due to hedging, the equilibrium price is above the expected sale price. As the sale date approaches, uncertainty about the sale price decreases, short speculative positions increase and the price decreases. In line with the predictions, I find that the yield of Italian Treasuries increases by 1.2 bps after the release of auction price information, compared to non-information days.In the third chapter, I study the link between prices and repo rates during the subprime crisis. I find that the no-arbitrage relationship between prices and repo rates in Duffie (1996) fares worse during the crisis. However, low-repo-rate bonds have an 18.0% higher probability of being more expensive than identical high-repo-rate bonds during the crisis, compared to only 9.0% before the crisis. Overall, while there are high limits of arbitrage, prices and repo rates feature larger co-movements during the crisis
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Sebate, Matlhogonolo Victor. "How liquid and efficient are Botswana Bond Markets?" Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/891.
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Thesis (MDevF (Business Management))--University of Stellenbosch, 2009.ENGLISH ABSTRACT: The importance of market microstructure in determining the success of a bond market in allocating financial resources depends on the degree to which the microstructure elements like liquidity, efficiency and volatility have been designed to determine the proper price at which matching of demand and supply in an efficient and effective manner is done. This research project analyzes some of the fundamental microstructure elements responsible for the current state of the Botswana bond market. The Botswana bond market is still in its infant stage hence there is little information on trades, which contributes to the liquidity problem. The purpose of the study was to investigate the liquidity and efficiency in Botswana’s bond market. The study also sought to compare the behaviour of the Botswana bond market to those of South Africa and further indicate what is behind the bond market emergence. Houweling, Mentink and Vorst‘s (2003) measure was used, in addition to a combination of simple regression and latent models. In the test of efficiency, a static model has been employed. Overall, it is established that the corporate bond market is less efficient and is illiquid. Furthermore, it is revealed that Botswana is still lagging behind South Africa when it comes to the level of development of the corporate bond market.
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Hollander, Martin B. L., of Western Sydney Nepean University, and Faculty of Business. "The relationship between the annualised volatility and correlation of G7 ten-year bond returns." THESIS_FB_XXX_Hollander_M.xml, 1999. http://handle.uws.edu.au:8081/1959.7/23.
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The purpose of this thesis is to investigate the relationship between the annualised volatility and correlation of G7 ten-year bond returns for the period July 1992 to June 1998 and the effects that such a relationship has on portfolio diversification. The stock market crash of 1987 and the growing importance of global equity markets has encouraged a plethora of research into the volatility and correlations between international equity markets. Despite this, very little attention has been paid to the transmission of currency-based bond returns across national boundaries. The findings in this thesis are important because evidence is provided that suggests the benefits of international bond diversification are limited. The evidence provided clearly indicates that because correlations amongst G7 currency-hedged bond returns are high, the relationship between bond volatility and correlation of returns has limited benefits for portfolio managers and traders. As a result, diversification may not significantly reduce portfolio risk. Even during periods of ongoing annualised volatility decreases, the correlation between most markets remains high. Unlike the volatility trends presented in this thesis, there appears to be no trend or consistency amongst the correlation of returns between G7 markets.Master of Commerce (Hons)
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Shaw, Matthew. "Bid-Ask Spread Modelling in the South African Bond Market." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29480.
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Pitsillis and Taylor (2014) calculate bid-ask spread estimates of South African government bonds over a single year, using the models of De Jong and Rindi (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both models by comparing the modelled equity spread estimates against the actual equity spread estimates. Furthermore, this dissertation investigates the stability of the De Jong and Rindi (2009) and Huang and Stoll (1997) models in the bond market by extending the spread estimate dataset to run annually over 5 years. The final section of this dissertation proposes a new method of estimating the bond spread through the use of a Kalman filter, as it can be used to leverage information from an onscreen market (albeit a different market) to imply bid-ask spread estimates in an off-screen market. The results indicate that the Huang and Stoll (1997) model consistently outperforms the De Jong and Rindi (2009) model. Furthermore, the yield estimate results of Pitsillis and Taylor (2014) align with the results obtained in this dissertation. The spread estimate results are stable over the 5-year period, indicating a strong provision of liquidity by the Primary Dealers.
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Haddad, Zavier. "Value-add in technical analysis on the JSE Bond Market." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/26864.
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Trading on the JSE Bond Market is still done in an archaic fashion when compared to the highly digitalised trading done within the equities markets in South Africa, indicating there is less market efficiency within bond trading. Technical analysis relies on market inefficiencies to achieve an informational advantage and so there could be technical analysis based trading opportunities within bond trading. Bollinger Bands are one of the more prominent technical analysis methods. In this dissertation they are used in trading simulations to generate buy and sell signals in order to test if there is any value-add in their implementation. The dissertation attempts improve Bollinger Band based trading in two ways. The first involves attempts to more accurately estimate the underlying distribution of the time series, that is assumed to be normal in the standard methodology. It is shown that no additional benefit is derived from the alternative distribution estimation methods. Bollinger Bands make an assumption of stationarity on the time series on which they are implimented and so the second attempt at improved accuracy addresses this notion. Cointegration is used to generate linear combinations of bonds that are stationary, leading to more accurate application of the Bollinger Bands. The stationary combination of bonds produces positive results from the trading simulations, primarily within the combinations that are generated from a linear combination of less bonds and that posses larger variation. Not considering the liquidity assumtions, the positive results show that there is value-add within specific technical analysis based trading strategies.
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Hove, Tagara. "Bond market development in emerging economies: a case study of the Bond Exchange of South Africa (BESA)." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002695.
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This study looks at the development of bond markets in emerging economies and focuses on the development of the Bond Exchange of South Africa (BESA). It explores the history, structure, performance and key issues related to the development of this market within the broader context of domestic, regional and global bond market development. BESA's experience provides valuable lessons for other emerging market economies also seeking to build bond markets. The sophistication of the local bond market is not enough to make it appealing to foreign borrowers. Market development demands an enabling market infrastructure and a background of macroeconomic stability, diversified market participants, deregulation of capital flows and an appropriate regulatory and supervisory environment.
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Lillieroth, Helena, and Sofia Lillieroth. "Accelerating Green Bond Market Growth : The role of the EU Taxonomy and the EU Green Bond Standard." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-297239.
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The interest for green investments has risen rapidly in the past years and with it, the green bond market. In line with the EU’s new Green Deal for a sustainable future, a Taxonomy of sustainable activities has been released along with a complementary green bond framework, the EU Green bond standard (EU GBS). Within the literature, there is a consensus that the green bond market has not yet reached its full potential and a number of obstacles for market growth have been identified. The new EU GBS is predicted to have an impact on the market, but it is not clear what it will look like, what role it will take on the market, and if it has the prerequisites to become the new market praxis framework. As the EU GBS will have an impact on the market, it could also have an impact on the obstacles for market growth. It is also at this stage uncertain if the EU GBS will contribute with new obstacles. Findings show that the EU GBS does have the prerequisites to become the standard framework on the market. It has advantages in being closely linked to the mandatory Taxonomy as well as a credible organization behind it. However, there are many other options, and it may be difficult for some issuers to issue an EU GBS as the criteria is set high. The EU GBS could help overcome some of the obstacles, but could also make some worse. It could open some doors, such as new sectors for green bonds and a common standard among European countries which could simplify the process. However, the uncertainty around it, the highly set thresholds and the do no significant harm criteria could decrease its growth. There are also issues around possible sub optimization and its credibility due to the notable presence of politics in the decision-making process.Intresset för gröna investeringar har snabbt ökat de senaste åren och således även intresset för gröna obligationer. I linje med EU:s nya Green Deal för en hållbar framtid har en taxonomi för hållbara aktiviteter släppts tillsammans med en kompletterande ramverk för gröna obligationer, EU Green bond standard (EU GBS). Inom litteraturen råder det enighet om att den gröna obligationsmarknaden ännu inte har nått sin fulla potential och ett antal hinder för marknadstillväxt har identifierats. Det nya EU GBS förutspås ha en inverkan på marknaden, men det är inte klart hur den kommer att se ut, vilken roll EU GBS kommer att ta och om ramverket har förutsättningar för att bli marknadspraxis. Eftersom EU GBS kommer att påverka marknaden kan det också komma att påverka hindren för marknadstillväxt. Det är också i detta skede osäkert om EU GBS kommer att bidra med nya hinder. Resultaten visar att EU GBS har förutsättningar att bli marknadspraxis. En av dess fördelar är sin nära koppling till den obligatoriska taxonomin såväl som en trovärdig organisation som står bakom. Det finns dock många andra alternativ och det kan vara svårt för vissa emittenter att utfärda ett EU GBS eftersom kriterierna är höga. EU GBS kan hjälpa till att övervinna några av hindren, men kan också arbeta emot dem. Ramverket kan öppna vissa dörrar, till exempel för nya sektorer för gröna obligationer och en gemensam standard för europeiska länder som kan förenkla processen. Osäkerheterna kring ramverket, de högt ställda tröskelvärdena samt ”do no significant harm”-kriterierna skulle dock kunna minska tillväxten av den gröna obligationsmarknaden. Det finns också frågor kring möjlig suboptimering och Taxonomins trovärdighet på grund av den politiska inblandningen i beslutsprocessen.
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Allen, David S. "Industrial revenue bonds: tests of capital structure theory and segmentation of the tax-exempt bond market." Diss., Virginia Polytechnic Institute and State University, 1988. http://hdl.handle.net/10919/53668.
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Industrial revenue bonds (IRBs) possess special tax characteristics which provide an opportunity to test the interest tax shield hypothesis of Modigliani and Miller [1963]. The announcement day excess returns for IRB issues reflect a positive significant market reaction. However, this excess return is unrelated to the tax shield on the debt. Nor is it a function of non-debt tax shields, a proxy for an interior optimal capital structure, or the risk of the issue. It is consistent, however, with the argument that lRBs provide a subsidy to issuing firms.
Miller's [1977] equilibrium model predicts that the tax rate of the marginal buyer of debt will be equal to the corporate tax rate. The Miller hypothesis is tested by comparing the yield spread between IRBs and taxable corporate debt. The empirical estimation indicates a segmentation of the market for tax-exempt debt. For short-term issues, the implied tax rate is not significantly different from the corporate tax rate, consistent with Miller’s prediction. For 1ong·term issues, the implied tax rate is significantly less than the corporate tax rate and decreases with maturity. This is consistent with the excess supply of tax-exempts being purchased by individuals in increasingly lower tax brackets.Ph. D.
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Wenlan, Zhang. "Essays on overlapping institutional investors along a supplier: customer relationship." HKBU Institutional Repository, 2014. https://repository.hkbu.edu.hk/etd_oa/80.
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This study consists of two essays. In the first essay, I examine whether the overlap in institutional investors between the supplier and its customer can be an efficient monitoring mechanism in the product market. Using a large sample of supplier–customer relationships for the period 1980–2011, I provide the following evidence. First, a high level of overlapping institutional ownership mitigates the adverse effect of asymmetric interdependence between supplier and customer on their firm performance. Second, relationship-specific investments and partnership duration are identified as underlying channels through which overlapping institutional ownership mitigates the adverse effect of asymmetric interdependence on partners’ performance. Third, overlapping institutional ownership is negatively associated with accounts receivable when the supplier is more financially constrained than the customer, suggesting that overlapping institutional ownership improves the efficiency of trade credit allocation. These findings survive out of a series of robustness checks. The findings of this study highlight that the overlap in institutional investors between supplier and customer plays as an efficient monitoring mechanism in the product market. In the second essay, I examine the informational role of overlapping transient institutional investors who hold stocks of both the firm and its customers in disseminating customer information to the firm’s bond market and document four findings. First, I find that overlapping transient institutional ownership significantly alleviates the prediction of lagged customer-portfolio bond returns to supplier bond returns even after controlling for the interaction effect between stock market and bond market. This finding survives out of a series of robustness checks. The alleviation effect is more pronounced for firms with high customer concentration and low customer industry competition, or with non-investment grade. Second, I find that overlapping transient institutional ownership represents more than a mere proxy for investor attention and leads to information advantage over overlapping institutional bondholders. Third, I find that current customer-portfolio return is significantly associated with the trading volume of overlapping transient institutional investors in the bond market, suggesting that overlapping transient institutional investors indeed take customer information into account when they trade bonds of suppliers. Fourth, I examine the real effect of customer information on bondholders and find that customer bond return is significantly related to the supplier’s future operating performance, which is an important predictor of credit risk. Overall, my results show that overlapping transient institutional shareholders take economically linked information into account when they trade in the bond market and improve the informativeness of bond price. Keywords: supplier–customer relationships, overlapping institutional investors, monitoring mechanism, bond price informativeness
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KUCUK, UGUR NAMIK. "Three essays in asset pricing of sovereign fixed income instruments." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2010. http://hdl.handle.net/2108/1322.
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Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market.
In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimate the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the basis is large and positive for speculative grade bonds and slightly negative for investment grade bonds. Large positive basis for speculative grade bonds support the existence of speculation in the CDS market when the underling’s credit quality is bad. I study the effects of bond liquidity, liquidity in the CDS market, equity market performance and macroeconomic variables on the non-default component of the emerging market yield spreads. I show that bond liquidity has a significant and positive effect on the CDS-bond basis of investment grade bonds. The results suggest that the liquid bonds of investment grade bonds are more expensive relative to the prices implied their CDS premiums. However, the results are somewhat mixed and even contrary for the speculative grade bond sample.Emerging Market Local Currency Bond Market, Too Risky to Invest? Over the last decade, local currency emerging market (EM) debt has been developing to become an attractive and complementary investment category as many EM countries have been successful to reduce currency mismatches and maturity problems by implementing sound fiscal and monetary policies. Analyzing the period from 2002 to July 2009, we show that the local currency EM debt investments provide significant additional alpha and diversification to traditional bond portfolios. In particular, first, EM local currency bond returns are less correlated to the US stock market, treasury and high-yield bond markets, and global risk premia compared to the a case of EM equity and US dollar-denominated bond markets. Second, yields and excess returns on local currency debt depend largely on expected depreciation of the exchange rate against US dollar, while excess returns on dollar-denominated EM debt are for the most part compensation for bearing the global risk. Third, EM sovereign local currency bond returns beat other emerging and mature market asset classes by providing higher risk adjusted excess returns and diversification. In light of our findings, we suggest that the development of local currency bond markets in EM countries could contribute to global financial stability by reducing currency mismatches and reliance on foreign currency debt, which in turn is linked to growth and poverty reduction.
Dynamic Sources of Sovereign Bond Market Liquidity. Using 482 US Dollar and Euro denominated bonds issued by 72 sovereigns, we examine the dynamic sources of time-series and cross-sectional variations in \textit{market-wide liquidity} of sovereign bonds as a novelty in the sovereign fixed income literature. Vector autoregression analysis shows that macroeconomic fundamentals and the financial market variables play a substantial role in the movements of aggregate liquidity throughout the whole sample period (1999-2010), although their effects are stronger during the financial crisis. Specifically, US industrial production growth rate and inflation rate have significant informative powers on the sovereign bond market liquidity. An increasing shock to the TED spread (the spread between 3-Month Libor and US T-bill), a measure of distrust in the banking system, has detrimental impact, while on the other side equity market performance is positively linked to market-wide bond liquidity. Furthermore, the direction of causality from the world financial and macroeconomic variables towards the aggregate bond market liquidity is confirmed by Granger causality tests. Finally, impulse response functions show that these relationships are persistent up to one-year forecast horizon.
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Fu, Qi. "Numerical methods for pricing callable bonds." Thesis, University of Macau, 2011. http://umaclib3.umac.mo/record=b2493162.
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Wagner, Andrew. "Municipal bond market efficiency post the implementation of RTRS transparency regulations /." [St. Lucia, Qld.], 2005. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18675.pdf.
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蔡宗穎. "Herding in bond market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/65910742347068545008.
Full textAbstract:
碩士國立政治大學
國際經營與貿易研究所
98
The objective of this study is to examine the bond market, the phenomenon of herd behavior, and to further explore the possible reasons for the phenomenon of conformity. First, try to combine competitive advantage of Keynes’s concept of beauty contests and the real bond price which satisfies martingale process Bond market in general there are two kinds of traders, one has both public information and private information, the other has only public information. Under conditions of asymmetric information, two kinds of traders’ trading strategies are the use of rational expectations under conditions to estimate the bond’s market price. However, we can find that there are some factors which affect the bond’s market price. Like bond’s true value, public information and supply shock. Finally, the model is found by the study will not lead to herd behavior bond market the most important factor is the interest rate behavior equation owned by traders. We select the exogenous variables which to compare their weight in order to determine the conditions of herd behavior.
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"Bond market in Hong Kong." Chinese University of Hong Kong, 1995. http://library.cuhk.edu.hk/record=b5888325.
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by Tse Kwok-fai, Sammy, Wong Kin-fai, Kelvin.Thesis (M.B.A.)--Chinese University of Hong Kong, 1995.
Includes bibliographical references (leaf 46).
TABLE OF CONTENTS --- p.i
LIST OF TABLES / FIGURES --- p.ii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- MARKET STRUCTURE --- p.4
Chapter III. --- PRODUCT TYPES --- p.11
Chapter IV. --- BASIC ELEMENTS AFFECTING BONDS PRICING --- p.18
Chapter V. --- BONDS PRICING MODELS --- p.25
Chapter VI. --- FACTORS LIMITING BONDS MARKET GROWTH --- p.34
Chapter VII. --- PROSPECTS --- p.40
Chapter VIII. --- CONCLUSION --- p.43
BIBLIOGRAPHY --- p.46
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Yu, Ssu-Wen, and 尤思雯. "Determinant of Spread between CDS Market and Bond Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/84931130937178252458.
Full textAbstract:
碩士輔仁大學
金融與國際企業學系金融碩士班
101
This paper extends existing research by collecting CDS spreads and bond spread data of 49 companies and financial institutions in US during the period of 2004/01/01 to 2010/09/30, which crosses over the global financial crisis period. We further splits the sample period by two parts: (1) before crisis (2004-2006) and (2) during and after crisis (2007-2010/09). We want to study the following relationships before and after crisis: (1) if there is any change in the correlation between CDS market and bond market and (2) which market performs more efficient in price discovery than the other. The empirical results show evidence of an increase of co-integration relationship between the two market spreads after the financial crisis. In order to explain the results, we further study the credit ratings of these companies and find that most of these entities with co-integration relationship belong to the group of lower credit ratings than others. During the crisis, the panic of investors makes the market performance of these companies more easily resulting in a long-term equilibrium relationship between bond and CDS spreads. In addition, we also find that the credit default swap market tends to be more efficient than bond market no matter before or after financial crisis. However, the CDS market starts to play a role of correcting the price discrepancies after the crisis.
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Silva, Carolina Forte do Carmo. "Coronavirus: bond market and growth expectations." Master's thesis, 2021. http://hdl.handle.net/10071/23462.
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The pandemic triggered exceptional monetary policy interventions by the Federal Reserve,
which in March 2020 cut the target rate. This thesis makes progress in understanding the impact
of COVID-19 on the treasuries market by examining the behaviour of the determinants of the
term structure of bond yields in the United States. For this, we use the Nelson-Siegel (1987)
approach to the term structure of interest rates. Findings suggest that the treasury yields closely
follow the cut in target rate. Hence, revealing as a good economic predictor.A pandemia desencadeou intervenções excecionais de política monetária por parte do Banco Central Norte Americano, que em março de 2020 cortou a "Target Rate". Esta tese tem como objetivo examinar o impacto do COVID-19 no mercado das "Treasuries", analisando o comportamento dos determinantes da estrutura das Treasuries nos Estados Unidos. Para isso, vai ser utilizada a abordagem de Nelson-Siegel (1987). Os resultados sugerem que as "Treasuries Yields" acompanham o corte na "Target Rate". Portanto, revelam ser um bom preditor económico.
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LIU, HIS-SHENG, and 劉希聖. "Determinants of Taiwan Bond Market Development." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/90821807907535174986.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
104
In this paper, China''s bond market characteristics such as market depth, information transfer efficiency and liquidity and other characteristics, as a relative analysis. And for the year of 2008 the global financial tsunami occurred, resulting in a lot of money moving to accelerate bond market produced a dramatic change, this paper introduced the sub-period changes in the international monetary environment research to capture the changes in the bond market characteristics. In this paper, the use of high-frequency data, and the introduction of changes in the overall economic factors affect the observed effect is why the bond market trading. The last estimate, for different categories of goods such as public debt bonds, corporate bonds and financial bonds, etc., the present study sample data using correlation coefficient regression model data to study differences in their individual characteristics. In this paper, the research results are expected to be as a government agency or a reasonable bond investors evaluate interest rate related products, and management of the reference bond investments.
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Haung, Chin-Ping, and 黃靜萍. "The Study of Issue Deep Discount Bonds' Feasibility in Taiwan Bond Market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/53287304075367470262.
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Chiou-Lian, Wu. "Expected Returns in the International Bond Market." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0607200410300900.
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Wu, Meng-Fang, and 吳孟芳. "The Study of Efficiency in Bond Market." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/62719397632387124638.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
91
According to the literature about stock market and exchange rate market, there are a lot of related studies on overreaction, under-reaction, and uncertain information hypothesis. As we know, bond index exists in our daily life, is a very important finance-managing tool; however, none of the literature is about the efficiency of bond index focusing on the global main financial market. This paper will expand the research range and exam the previous predict ability of bond return. The data will take MSCI Bond Indices from Datastream, taking G7 and emerging market (i.e. Czech Republic, Hungary, Poland, and South Africa) as the case study of efficiency of bond index. Then I will cut the daily return of bond index between the rise and fall to discuss the investment behavior of bond index, i.e. exam whether the bond index is suitable for the efficiency hypothesis. This paper uses event study, testing the efficiency of bond market in 11 countries. As a result, I find out in the short period of time (10 days) England, America, Canada, Japan, Italy, Czech Republic, Hungary, Poland fit the hypothesis of under-reaction. In the long period of time (30 days), England, America, Canada, Japan and Italy fit the hypothesis of under-reaction. We can find out in the long period of time, none of the emerging countries fit the hypothesis of under-reaction; moreover, countries such as France, Germany, South Africa do not fit any hypothesis whether in the long or short time.
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Wu, Chiou-Lian, and 巫秋蓮. "Expected Returns in the International Bond Market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/32549123166958195713.
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碩士國立臺灣大學
財務金融學研究所
92
Abstract： In this article, I want to address two questions: (a) Can I predict bond returns by using some instruments? (b) Are expected bond returns in these twelve countries consistent with some asset pricing models? I study twelve countries’ long-term government bonds: United States, Canada, Japan, Australia, Germany, France, United Kingdom, Belgium, Italy, Spain, Denmark and Netherlands from January 1991 to February 2003. I use five factors to explain expected returns on government bonds. These five factors are: inverse relative wealth (the ratio of exponentially weighted past wealth to current wealth), the bond beta (a bond market’s exposure to a stock market index), the term spread, the real bond yield, and the change of exchange rate. I find the term spread and the real bond yield has consistent effect on bond returns positively. And the returns on currency have negatively impact on the returns on government bond returns. I use two pricing model to test whether government bond market is consistent with asset pricing model. The first model is latent variables model. In this model, I can’t reject asset pricing model by using two latent variables model. The second model is bivariate GARCH-in-mean model. In this model, I find the conditional covariance between country government bond returns and world portfolio returns have significant effect on government bond returns. The reminder of the paper is divided into four sections. Section II introduces asset pricing models used. In this section, there are two parts. The first part presents the latent variables model, and the second part discusses a bivariate GARCH-in-mean model. Section III defines five instruments and explains the possible ways these instruments will affect bond returns. Section IV shows the results of empirical test. There are two parts in this section. The first part takes every country’s Treasury bill rate or short-term deposit rate to be the short-term rate and risk-free rate. The second part uses U.S. three-month Treasury bill rate to be every country’s short-term rate and risk-free rate. Section V is conclusion.
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Alcaide, Filipa Isabel Ferreira. "Covered bond market: is legislation impact measurable?" Master's thesis, 2010. http://hdl.handle.net/10071/4447.
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G12, G14Covered bonds are instruments characterized by specific features that make this product unique and considered by market players as the safest after government bonds. The two types till now existent have as main difference the legal framework. This work studies the two European countries that issued covered bonds before a legislative framework has been creates. The legal framework creates a standardized instrument. In this work we intend to demonstrate the legislation effect on the pricing of covered bonds through a linear regression with variables to evaluate covered bonds and two dummies to capture the impact of special covered bonds law. Empirical results suggest that, although investors seem to favour this type of bonds compared with senior bonds, or even structured covered bonds, we cannot find strong statistical evidence of this relation. This work also defines the characteristics that distinguish these bonds from any other type of bonds and provides a description of financial markets in general and of the covered bond market over the last years.
As obrigações hipotecárias são instrumentos que se caracterizam por certas particularidades que tornam este produto único, além de serem considerados pelos agentes de mercado as mais seguras a seguir às obrigações de governo. Os dois tipos até hoje existentes têm como principal diferença o quadro jurídico. A metodologia seguida neste estudo baseia-se na análise dos dois países europeus que emitiram obrigações hipotecárias antes de um quadro legislativo ter sido promulgado. O quadro legal cria um instrumento padronizado. Neste trabalho propusemos demonstrar o efeito da legislação sobre os preços de obrigações hipotecárias através de uma regressão linear com variáveis para avaliar obrigações hipotecárias e duas dummies para captar o impacto do quadro legislativo de obrigações hipotecárias. Os resultados empíricos sugerem que, embora os investidores pareçam favorecer este tipo de títulos em comparação com títulos senior, ou mesmo obrigações hipotecárias estruturadas, não é possível detectar uma forte evidência estatística dessa relação. Neste trabalho podemos encontrar também as características que distinguem estas obrigações de qualquer outro tipo de obrigações e uma descrição dos mercados financeiros em geral e do mercado de obrigações hipotecárias dos últimos anos.
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陳蓉瑱. "An empirical study of market timing in Asia-Pacific bond market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/64482720157994604119.
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碩士國立政治大學
企業管理研究所
98
The purpose of this thesis is to test whether there is market timing behavior existing in Asia-pacific bond market. Using the data during 2000~2009 in three representative places, including Australia, Hong Kong and Singapore, we compare both the absolute and relative interest rate to both the absolute and relative amount of debt issue. In addition, we further control the factors that affect the debt issue of firms, including the market growth opportunities, refinancing and the characteristics of firms. Finally, we find there is no market timing behavior in Asia-pacific bond market. Besides, firms’ financing behavior in Asia-pacific are better explained by the trade-off theory, which means it is possible that there is a optimal capital structure for each firm.
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Kuo, Sue-Ping, and 郭淑萍. "Study of Risk Control System in Bond Trading:A Case of Taiwan Bond Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/7ga6gd.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
95
Since the year 2000, the annual-trading value in Taiwan’s secondary market of bonds has exceeded ten trillion (NTD) while day-trading value is well over 100 billion (NTD). 90% of which are government bonds, as they are the most actively traded bonds. With the growth of bond trading activity, bond dealers and bond brokers face not only greater market risk and credit risk, but should also have precautions on the increased operational risk. This study uses a particular security house as an example, explaining in detail the bond auctioning, underwriting, outright purchase/sell, and Re-Purchase/Reverse Re-Purchase practices, as well as the internal control procedures of front office trading and back office processing. In addition, an analysis is given on reactions of the security house to authority regulations and suggestions to security house’s active behaviors for operational risk controlling are also provided.
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Lin, Chia-Hao, and 林家豪. "The credit risk premium of Corporate Bond-The Analysis of Taiwan Bond Market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/07751566520444011486.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
94
The purpose of this paper is to analyze the credit risk premium of Taiwan corporate bond market. Comparing to the complete offshore bond market, there are a lot of problems in local market, such as issue irregularly, rating status, and small trading volume. Under these restrictions, the sample size of bond market was in sufficient to analyze and survey in the past. Under SFC’s regulation, each corporate bond must be rated before issuing. We collect nearly 5 year complete weekly data to do this research. Comparing to previous studies, not only the sample size is increasing, but also the trading volume of secondary market grow rapidly. Applying Duffee’s (1988) approach, this paper investigates the relationship of credit risk premium and the movement of term structure slope, the movement of 90 day’s commercial paper. The results display that there are negative relationship of credit risk premium and the movement of term structure slope, the movement of 90 day’s commercial paper , and correspond to the result of Duffee(1998).