The Informational Efficiency of the Corporate Bond Market: What is the Role of Trading Volume?

2011 ◽  
Author(s):  
Ehab Abdel-Tawab Yamani
Keyword(s):  
Trading Volume ◽  
Bond Market ◽  
Corporate Bond ◽  
Informational Efficiency ◽  
Corporate Bond Market

scholarly journals Law, Politics, and Financial Development: The Great Reversal of the U.K. Corporate Debt Market

2013 ◽  
Vol 73 (3) ◽  
pp. 810-846 ◽  
Author(s):  
Christopher Coyle ◽  
John D. Turner
Keyword(s):  
Twentieth Century ◽  
Financial Development ◽  
Bond Market ◽  
Corporate Bond ◽  
Late Nineteenth Century ◽  
Corporate Bond Market ◽  
Debt Market ◽  
Late Nineteenth ◽  
Over Time

This article examines the role of creditor protection in the development of the U.K. corporate bond market. This market grew rapidly in the late nineteenth century, but in the twentieth century it experienced a reversal, albeit with a short-lived post-1945 renaissance. Such was the extent of the reversal that the market from the 1970s onwards was smaller than it had been in 1870. We find that law does not explain the variation in the size of this market over time. Alternatively, our evidence suggests that inflation and taxation policies were major drivers of this market in the post-1945 era.

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

2009 ◽  
Vol 44 (5) ◽  
pp. 1081-1102 ◽  
Author(s):  
Chris Downing ◽  
Shane Underwood ◽  
Yuhang Xing
Keyword(s):  
Stock Returns ◽  
Financial Distress ◽  
High Frequency ◽  
Convertible Bonds ◽  
Bond Market ◽  
Corporate Bond ◽  
Informational Efficiency ◽  
Corporate Bond Market ◽  
Market Transparency ◽  
Bond Returns

AbstractIn light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We find that hourly stock returns lead bond returns for nonconvertible junk- and BBB-rated bonds, and that stock returns lead bond returns for convertible bonds in all rating classes. Most of the predictable nonconvertible bonds are issued by companies in financial distress, while the predictable convertible bonds are those with conversion options more deeply in-the-money. These results indicate that the corporate bond market is less informationally efficient than the stock market, notwithstanding the recent improvements in bond market transparency and associated reductions in corporate bond transaction costs.

scholarly journals The Growing Importance of the Economic Role of the Corporate Bond Market

2021 ◽  
Vol 20 (4) ◽  
pp. 5-37
Author(s):  
Attila Bécsi ◽  
Gergely Bognár ◽  
Máté Lóga
Keyword(s):  
Negative Impact ◽  
Bank Lending ◽  
Bond Market ◽  
Bank Loans ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
Economic Role ◽  
Wide Range ◽  
Liability Structure

The role of corporate bonds has expanded globally in the past decade, as they are an ideal financial instrument both for diversifying the liability structure of issuing companies and managing investors’ portfolios. An adequately developed, liquid corporate bond market has a beneficial effect on the functioning and transparency of the market mechanisms of the economy and can also strengthen the crisis resilience of the financial system. Several studies have shown that – in addition to the normal functioning of companies – the issue of corporate financing is also important in crisis management, as uncertainty during a crisis has a negative impact on the liquidity of bank lending, limiting companies’ funding options. In such a situation, it is therefore vital that companies can also rely on other forms of financing. Recognising this in the aftermath of the 2008–2009 economic crisis, central banks in a number of countries launched bond purchase programmes in order to start supporting the expansion of the corporate bond market. Thanks to the Bond Funding for Growth Scheme (BFGS) of the Magyar Nemzeti Bank (the Central Bank of Hungary, MNB), the Hungarian corporate bond market now offers a realistic financing alternative to bank loans for a wide range of companies.

The Macroeconomic Uncertainty Premium in the Corporate Bond Market

2020 ◽  
pp. 1-26 ◽  
Author(s):  
Turan G. Bali ◽  
Avanidhar Subrahmanyam ◽  
Quan Wen
Keyword(s):  
Cross Section ◽  
Bond Market ◽  
Corporate Bond ◽  
Economic Uncertainty ◽  
Corporate Bond Market ◽  
Macroeconomic Risk ◽  
Macroeconomic Uncertainty ◽  
Retail Investors ◽  
Investment Grade

Abstract We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors).

Momentum in the European Corporate Bond Market: The Role of Bond-Specific Returns

2017 ◽  
Vol 27 (3) ◽  
pp. 54-70 ◽  
Author(s):  
Florian Barth ◽  
Hendrik Scholz ◽  
Matthias Stegmeier
Keyword(s):  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market
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