Bond Returns (bond + return)

Distribution by Scientific Domains


Selected Abstracts


Determinants of Corporate Bond Returns in Korea: Characteristics or Betas?,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2009
Woosun Hong
Abstract This study investigates how the corporate bond's characteristics and Betas affect bond returns by using extensive Korean corporate bonds data from 2001 to the first half of 2007. Overall, our results indicate that bond characteristics provide significant explanations to excess returns while market factors (i.e., Betas) do not. It is strikingly different from the U.S. study of Gebhardt et al. (2005), which showed that market factors notably affect the excess returns of U.S. corporate bonds. [source]


Regime-switching in stock index and Treasury futures returns and measures of stock market stress

THE JOURNAL OF FUTURES MARKETS, Issue 8 2010
Naresh Bansal
We investigate bivariate regime-switching in daily futures-contract returns for the US stock index and ten-year Treasury notes over the crisis-rich 1997,2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast between regimes, with a high-stress regime that exhibits a much higher stock volatility, a much lower stock,bond correlation, and a higher mean bond return. The high-stress regime is associated with higher average values of stock-implied volatility, stock illiquidity, and stock and bond futures trading volume. The lagged implied volatility from equity-index options is useful in modeling the time-varying transition probabilities of the regime-switching process. Our findings support the notions that: (1) stock market stress can have a material influence on Treasury bond pricing, and (2) the diversification benefits of combined stock,bond holdings tend to be greater during times with relatively high stock market stress. 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:753,779, 2010 [source]


Conditioning Information and European Bond Fund Performance

EUROPEAN FINANCIAL MANAGEMENT, Issue 2 2003
Florinda Silva
G11; G12; G14 In this paper we evaluate the performance of European bond funds using unconditional and conditional models. As conditioning information we use variables that we find to be useful in predicting bond returns in the European market. The results show that, in general, bond funds are not able to outperform passive strategies. These findings are robust to whatever model (unconditional versus conditional and single versus multi-index) we use. The multi-index model seems to add some explanatory power in relation to the single-index model. Furthermore, when we incorporate the predetermined information variables, we can observe a slight tendency towards better performance. This evidence is consistent with previous studies on stock funds and comes in support of the argument that conditional models might allow for a better assessment of performance. However, our results suggest that the impact of additional risk factors seems to be greater than the impact of incorporating predetermined information variables. [source]


The flight-to-quality effect: a copula-based analysis

ACCOUNTING & FINANCE, Issue 2 2010
Robert B. Durand
G12 Abstract We derive and estimate a copula combining the features of the Frank and Gumbel copulas to analyse the relationship between equity and long-term bond returns. Our analysis of quarterly returns from 1952 to 2003 finds that, in general, there is a positive relationship between equity returns and bond returns. In extreme situations, however, there is approximately a one-in-seven chance of a flight-to-quality effect where large negative equity returns are associated with large positive bond returns. [source]


Initial Evidence on the Role of Accounting Earnings in the Bond Market

JOURNAL OF ACCOUNTING RESEARCH, Issue 3 2009
PETER D. EASTON
ABSTRACT We document that: (1) the incidence of bond trade increases during the days surrounding earnings announcements, (2) there is a bond-price reaction to the announcement of earnings, and (3) there is a positive association between annual bond returns and both annual changes in earnings and annual analysts' forecast errors. All of these effects are larger when earnings convey bad news or when the underlying bond is more risky. Taken together, our results suggest that the nonlinear payoff structure of bond securities affects the role of accounting earnings in the bond market. [source]


An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

JOURNAL OF APPLIED ECONOMETRICS, Issue 1 2006
Massimo Guidolin
This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four-state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50% chance, suggesting a bounce-back effect from the crash to the recovery state. Copyright 2006 John Wiley & Sons, Ltd. [source]


Determinants of Corporate Bond Returns in Korea: Characteristics or Betas?,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2009
Woosun Hong
Abstract This study investigates how the corporate bond's characteristics and Betas affect bond returns by using extensive Korean corporate bonds data from 2001 to the first half of 2007. Overall, our results indicate that bond characteristics provide significant explanations to excess returns while market factors (i.e., Betas) do not. It is strikingly different from the U.S. study of Gebhardt et al. (2005), which showed that market factors notably affect the excess returns of U.S. corporate bonds. [source]