Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 31 for “"corporate bonds"”.
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Essays on corporate bonds
This thesis consists of three empirical essays on corporate bonds, examining the role of both credit risk and liquidity. In the first chapter, I test the ability of structural models of default to price corporate bonds in the cross-section. I find that the Black-Cox model can explain 45% of the …
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The premium of green corporate bonds /
Pagrindinis šio darbo tikslas - atskeisti, ar žaliųjų obligacijų rinkoje egzistuoja žaliųjų obligacijų priemoka. Tyrimas buvo orientuotas į Europoje esančias įmones, kurios obligacijas leido eurais ar JAV doleriais. Buvo nagrinėjami du skirtingi laikotarpiai: nuo 2013 metų lapkričio mėnesio iki …
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Functional Anova Models With Application to Corporate Bonds
… we applied them to a real data set consisting of corporate bond transaction prices to test the null hypotheses about the main effects and the interactions of the various factors that affect the mean credit spread curve around the rating change announcement day. We used mean credit spread curve …
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Corporate Bonds and Equities: A Comparison of Returns
… aided research in this domain. The research on corporate bond markets is considerably less due to both the illiquid and over-the-counter (OTC) nature of these markets which have resulted in less easy availability of reliable data sources. Corporate bond and equities possess commonalities in …
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Pricing and hedging credit-risky derivatives using corporate bonds
… risk free (no chances of defaulting) government bonds (Treasuries). It follows then that by investing in the riskier bonds (corporate bonds); the investor should reap more benefits (higher returns). The argument lies in the trade off, yield and risk. higher yield results in higher credit risk …
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
… comprehensive analysis of credit risk in China's corporate bond market. Utilising data on all Chinese corporate bonds issued by publicly traded companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting corporate bond …
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Determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds
… credit spreads on U.S. dollar-denominated Asian corporate bonds. Using a country-level unbalanced panel dataset of Asian corporate bond indices, I find that global factors including U.S. corporate bond spreads and the U.S. long-term Treasury yield are main determinants of Asian corporate bond …
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The effect of corporate bonds spread variability on non-financial firms’ financing structure: further evidence from emerging markets
… investments. However, the size of the domestic bonds market and the growth for emerging economies remains very insignificant. Thus, the essential of most financial transactions remain undertaken in many cases by the banking sector, while markets for capital remain unsatisfactorily …
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The term structure of interest rates: U.S. government bonds, 1955-1989
… term structure of interest rates in government bonds parallels that of the behavior in high-grade corporate bonds. Previous studies have demonstrated that there are synchronous changes in different maturities in high-grade corporate bonds. Results of statistical tests and measurements of the …
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Determinants of U.S. corporate credit spreads.
… with various issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default …
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Three Essays On Bond Trading
… bond exchange listing in the US publicly traded corporate bond market. Overall, we find that listed corporate bonds have lower bid-ask spreads than unlisted corporate bonds. We specifically show that listed bond spreads are $0.14 lower than unlisted bond spreads. We find that execution venue …
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Three essays in financial economics
… wages offers new insights into asset prices and corporate investments. In the second essay, Anomalies in the Joint Cross Section of Equity and Corporate Bond Returns, we show that many cross-sectional anomalies in equity returns do not appear in the corporate bond returns of the same firms. These …
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Estimating credit default swap spreads from equity data
Corporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an increase in risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate …
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Credit Risk Pricing via Epstein-Zin Pricing Kernel
We present an equilibrium framework for pricing corporate bonds with information delay in an Epstein-Zin setting. As in structural models of credit risk, the default time is modeled as the first hitting time of a default boundary by the unobservable process; the firm's asset value. The observable …
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Term structures of conditional probabilities of corporate default in an incomplete information setting
… are financial instruments that are based on corporate bonds and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian model to estimate term structures of conditional …
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The term structure of zero-coupon and coupon bonds: a comparative analysis
The behavior of the term structure of zero-coupon bonds parallels the behavior of coupon bonds. Previous studies have demonstrated that there are synchronous changes among different maturities of coupon bonds. Results of statistical and sign tests are used to measure the degree of synchronicity, …
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Insider Share-Pledging and Firm Investors
Corporate insiders frequently borrow from lending institutions and pledge personal equity shares as collateral for the loan. Using manually collected pledge data for January 2007-December 2011, I examine how this phenomena affects firm investors and analyze agency conflicts between pledging …
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Essays on Green Finance
… 1: Pricing Climate Change Risk in Corporate Bonds</strong></p> <p>Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms’ SLR exposure is …
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Credit derivatives in Brazil
… - the credit default swap (CDS). Then, since bonds and CDS are closely related, the thesis provides short descriptions of the Brazilian market for government issued bonds and corporate bonds. Subsequently we assess the Brazilian regulation for credit derivatives and start to find some reasons …
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The dynamics of market, credit and liquidity risk in the US corporate bond market
… presented by these three risk factors in the US corporate bond market. Market risk is the earliest and most widely acknowledged risk factor, affecting all financial securities. The risk that the issuer of the bond might go bankrupt introduces credit risk for corporate bonds. Finally, these …
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