Equity analysts' recommendation revisions and corporate bond price reactions

lndonesia corporate bond market development can he done from various aspects, among others, through the stability and improvement of macroeconomic indicators, improving the quality of ï¬nancial infrastructure, and improving the quality of the corporate bond market. This study aimed to describe the quality Indonesian corporate bond market based transaction costs approach. Therefore, the quality of the corporate bond market in this study manifested by transaction costs and decomposition of transaction costs (information friction and real friction). Based on the estimation of transaction costs and decomposition of transaction costs, regulators and market managers can create a variety of policies to improve the quality of the corporate bond market. To achieve these goals, the data used were corporate bond registered and transacted in the bond market and the sources of data from Securities Division reported OTC-FIS (Over the counter â€“ Fixed Income Service). The research samples were 2336 observations using the purposive sampling technique to gather samples. The data were analyzed using the multiple regression equation. The research indicates that: First, transaction costs tyâ€™ corporate bond is 0-798 with t-statistic is 31.964. Second, the contribution of information friction againts transaction cost is 45.1 percent with t-statistic is 18.20. "third, the contriliution real friction againts transaction cost is 14.2 percent with t-statistic is 5.71. Fourth, the information friction have the greater contribution to transaction cost with or without the classification of sample. Fifth, in the change of bond price segmentation, the contribution of information friction increases with the increase of the change of bond price. With reference to the research results, the quality of the corporate bond market can he improved by lowering the transaction costs in trade mechanism. Transaction costs can be reduced through increased transparency and improved the trading niechanisni of corporate bond market. Furthermore, the result if this research can be used by investors in creating portfolios and holding periods and for bond emitters in issuing bonds.

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Corporate Bond Price Data Sources and Return/Risk Measurement

Journal of Financial and Quantitative Analysis ◽

10.2307/2330737 ◽

1986 ◽

Vol 21 (2) ◽

pp. 197 ◽

Cited By ~ 24

Author(s):

Kenneth P. Nunn ◽

Joanne Hill ◽

Thomas Schneeweis

Keyword(s):

Risk Measurement ◽

Corporate Bond ◽

Data Sources ◽

Bond Price ◽

Price Data

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Slow price reactions to analysts’ recommendation revisions

Quantitative Finance ◽

10.1080/14697688.2013.869699 ◽

2014 ◽

Vol 14 (6) ◽

pp. 993-1004 ◽

Cited By ~ 1

Author(s):

Kotaro Miwa ◽

Kazuhiro Ueda

Keyword(s):

Price Reactions ◽

Recommendation Revisions

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PEMODELAN KURVA IMBAL HASIL OBLIGASI KORPORASI RATING AA DAN A DENGAN NELSON SIEGEL SVENSSON DAN CUBIC SPLINE SMOOTHING

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v11i4.463 ◽

2009 ◽

Vol 11 (4) ◽

pp. 293-322

Author(s):

Denny Permatasari ◽

Nur Iriawan

Keyword(s):

Yield Curve ◽

Stock Exchange ◽

Corporate Bonds ◽

Cubic Spline ◽

Corporate Bond ◽

Spline Smoothing ◽

Bond Price ◽

Market Prices ◽

Corporate Bond Market ◽

Commercial Instrument

Bond is one of commercial instrument that influence economic sector in Indonesia. Bond transaction can't be made in the market directly, but it has been traded through securities. On average, there are only few bond transactions with the various market prices. Benchmarking is, therefore, needed to be created to determining bond price through yield curve. Through yield curve, the relation between yield of bond with same credit risk (rating) and different time to maturity can be seen. This research is conducted by employing time to maturity to model the yield of some selected corporate bonds with rating of AA and A. Two methods, Nelson Siegel Svensson (NSS) method couple with Levenberg-Marquardt optimization and Cubic Spline Smoothing (CSS) are employed here. These two methods have been applied to data from Indonesian Stock Exchange (IDX) ranging September to November 2008. The results show that CSS give smallest RMSE and MAE. In contrast, Nelson Siegel Svensson reports a model which more parsimony, more easily to be explained, and more adaptable to keep upfoward maturity than CSS. This research takes into account that NSS is better to be to model corporate bonds yield curve than CSS. Another importance conclusion that can be gather is that corporate bonds (with rating of AA and A) yield are hang about under IGSYC in certain period. Its means, that corporate bond market in Indonesia is not good for investment comparing to government bond.

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