Corporate Debt

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Economics and Finance".

Deadline for manuscript submissions: closed (30 November 2019) | Viewed by 29204

Special Issue Editor

Principal Economist, Board of Governors of the Federal Reserve System, Washington, DC, USA
Interests: corporate debt market structure; liquidity; market efficiency; credit rating

Special Issue Information

Dear Colleagues,

Over the last decade, market structure changes, regulatory reforms, and technological advances have had substantial impact on corporate bond markets and their liquidity. Market participants, including issuers, intermediaries and investors, are evolving their business models to adapt to changes in market conditions. Regulators are seeking to improve the structure of corporate bond markets to effectively serve the needs of market participants. While a growing body of research has helped our understanding of this historically opaque market, many questions remain open. The aim of this Special Issue is to present latest theoretical and empirical advances in research to stimulate and foster discussions on corporate debt. General topics of interest include, but are not limited to:

  • Credit risk models
  • Corporate bond liquidity and market quality
  • Financial crisis, post-crisis regulation and systemic risk
  • Debt financing and capital structure decisions
  • Institutional holdings and trading activities
  • Market liquidity and funding liquidity
  • Trading networks
  • Credit ratings
Prof. Dr. Xing (Alex) Zhou
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (7 papers)

Order results
Result details
Select all
Export citation of selected articles as:

Editorial

Jump to: Research

2 pages, 141 KiB  
Editorial
Corporate Debt
by Xing (Alex) Zhou
J. Risk Financial Manag. 2020, 13(9), 199; https://doi.org/10.3390/jrfm13090199 - 04 Sep 2020
Cited by 1 | Viewed by 1637
Abstract
Traditional corporate bond pricing models have had limited success in explaining actual corporate yield spreads [...] Full article
(This article belongs to the Special Issue Corporate Debt)

Research

Jump to: Editorial

34 pages, 1416 KiB  
Article
Credit Spreads, Business Conditions, and Expected Corporate Bond Returns
by Hai Lin, Xinyuan Tao, Junbo Wang and Chunchi Wu
J. Risk Financial Manag. 2020, 13(2), 20; https://doi.org/10.3390/jrfm13020020 - 21 Jan 2020
Cited by 3 | Viewed by 4054
Abstract
Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components [...] Read more.
Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components have more predictive power for bond returns than conventional default and term spreads. When decomposing the credit spread index into investment- and speculative-grade components, the latter has more predictive power for future bond returns. The source of the index’s predictive power is from its ability to forecast future economic conditions. Full article
(This article belongs to the Special Issue Corporate Debt)
Show Figures

Figure 1

33 pages, 1596 KiB  
Article
A Quantitative Analysis of Risk Premia in the Corporate Bond Market
by Sara Cecchetti
J. Risk Financial Manag. 2020, 13(1), 3; https://doi.org/10.3390/jrfm13010003 - 20 Dec 2019
Cited by 2 | Viewed by 3306
Abstract
Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed whether the [...] Read more.
Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed whether the observed reduction in corporate credit risk was due to the decrease in risk aversion favored by the monetary easing or by expectations of lower losses due to corporate defaults. This work introduces a new methodology to break down the factors that drive corporate credit risk, namely the premium linked to cyclical and monetary conditions and that linked to the restructuring of the companies. Untangling these two components makes it possible to quantify the drivers of excess returns in the corporate bond market. Full article
(This article belongs to the Special Issue Corporate Debt)
Show Figures

Figure 1

18 pages, 528 KiB  
Article
Impact of Readability on Corporate Bond Market
by Jieyan Fang-Klingler
J. Risk Financial Manag. 2019, 12(4), 184; https://doi.org/10.3390/jrfm12040184 - 05 Dec 2019
Cited by 7 | Viewed by 3456
Abstract
This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread volatilities, higher transaction costs, [...] Read more.
This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread volatilities, higher transaction costs, higher transaction costs volatility, smaller trade size, higher number of trades and higher number of trades volatility. This paper also provides the first answers to the question as to whether annual report readability matters to international market participants in the corporate bond market. My findings provide evidence that in the EUR corporate bond market, firms with more readable annual reports are associated with lower credit spreads. Full article
(This article belongs to the Special Issue Corporate Debt)
Show Figures

Figure 1

17 pages, 258 KiB  
Article
Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds
by Michael A. Goldstein, Edith S. Hotchkiss and David J. Pedersen
J. Risk Financial Manag. 2019, 12(2), 86; https://doi.org/10.3390/jrfm12020086 - 13 May 2019
Cited by 20 | Viewed by 7366
Abstract
This paper studies the link between secondary market liquidity for a corporate bond and the bond’s yield spread at issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the underwriting syndicate, we find an economically [...] Read more.
This paper studies the link between secondary market liquidity for a corporate bond and the bond’s yield spread at issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the underwriting syndicate, we find an economically large impact of liquidity on yield spreads. We estimate that a 10% increase in expected liquidity implies a decrease in the yield spread at issuance of between 8% and 14%. Our results suggest that liquidity has an important effect on firms’ cost of capital, and they contribute to the literature which examines the impact of liquidity on asset prices. Full article
(This article belongs to the Special Issue Corporate Debt)
12 pages, 408 KiB  
Article
On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
by Hong-Ming Yin, Jin Liang and Yuan Wu
J. Risk Financial Manag. 2018, 11(4), 87; https://doi.org/10.3390/jrfm11040087 - 06 Dec 2018
Cited by 12 | Viewed by 4035
Abstract
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the [...] Read more.
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are allowed to happen a finite number of times during the life-span of the bond. The volatility of a corporate bond price may have a jump when a credit rating for the bond is changed. Moreover, the volatility of the bond is also assumed to depend on the interest rate. This new model improves the previous existing bond models in which the rating change is only allowed to occur once with an interest-dependent volatility or multi-ratings with constant interest rate. By using a Feynman-Kac formula, we obtain a free boundary problem. Global existence and uniqueness are established when the interest rate follows a Vasicek’s stochastic process. Calibration of the model parameters and some numerical calculations are shown. Full article
(This article belongs to the Special Issue Corporate Debt)
Show Figures

Figure 1

19 pages, 5885 KiB  
Article
Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
by Guillaume Horny, Simone Manganelli and Benoit Mojon
J. Risk Financial Manag. 2018, 11(4), 74; https://doi.org/10.3390/jrfm11040074 - 29 Oct 2018
Cited by 12 | Viewed by 4713
Abstract
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the [...] Read more.
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar maturity into country, credit and duration risk premia components via dummy regressions. We highlight three main findings. First, the initial phase of the financial crisis (2008–2009) caused an overall increase in credit risk premia. Since the beginning of 2013 credit risk premia are back to levels comparable to those preceding the financial crisis. Second, at the height of the euro area sovereign crisis (2011–2012), high credit risk premia were accompanied by strong and persistent signs of market fragmentation in Italy and Spain (but not in France). This fragmentation has reached its peak in the second half of 2012 and has started to recede only after the announcement of the OMT. Third, we provide a simple measure of financial integration across the big 4 member states of the euro area. Full article
(This article belongs to the Special Issue Corporate Debt)
Show Figures

Figure 1

Back to TopTop