Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market. / Janner, Steve; Schmidt, Daniel.
in: Financial Markets and Portfolio Management, Jahrgang 29, Nr. 3, A004, 08.2015, S. 271-298.Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - Are economically significant bond returns explained by corporate news?
T2 - An examination of the German corporate bond market
AU - Janner, Steve
AU - Schmidt, Daniel
PY - 2015/8
Y1 - 2015/8
N2 - We examine the association between bond prices and corporate news for firms listed in the prime segment of the German stock market. Focusing on economically significant bond returns, we provide an overview of the various news categories that influence bond investors in their assessment of an issuer’s default risk. This approach allows us to draw direct comparisons with respect to size and time of impact. We find that (1) there is a strong relationship between economically significant changes in bond prices and corporate news, (2) earnings announcements and financing issues prevail in our analyses, and (3) on average, around half the significant bond returns occur within a period of one day before to one day after an event. This proportion is considerably small compared to the findings of related studies on the stock market. We also carry out a conventional event study analysis as an alternative approach to our main analysis.
AB - We examine the association between bond prices and corporate news for firms listed in the prime segment of the German stock market. Focusing on economically significant bond returns, we provide an overview of the various news categories that influence bond investors in their assessment of an issuer’s default risk. This approach allows us to draw direct comparisons with respect to size and time of impact. We find that (1) there is a strong relationship between economically significant changes in bond prices and corporate news, (2) earnings announcements and financing issues prevail in our analyses, and (3) on average, around half the significant bond returns occur within a period of one day before to one day after an event. This proportion is considerably small compared to the findings of related studies on the stock market. We also carry out a conventional event study analysis as an alternative approach to our main analysis.
KW - Management studies
KW - Bond market
KW - Abnormal
KW - News
KW - Event study
UR - http://www.scopus.com/inward/record.url?scp=84943237574&partnerID=8YFLogxK
U2 - 10.1007/s11408-015-0253-5
DO - 10.1007/s11408-015-0253-5
M3 - Journal articles
VL - 29
SP - 271
EP - 298
JO - Financial Markets and Portfolio Management
JF - Financial Markets and Portfolio Management
SN - 1555-4961
IS - 3
M1 - A004
ER -