Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical. These components are mutually negatively correlated and their relative importance varies with credit quality. We show that it is of critical importance to take this into account when studying the predictability of corporate bond returns. In this paper we focus on the credit spread component of corporate bond returns, enabling us to find new predictors that were previously unknown to the literature. Moreover, by re-examining previously documented predictors, we are able to dismiss several of them as irrelevant for credit spread returns and to explain inconsistent findings between investment grade and high yield corporate bonds. In total, we find four factors with significant in-sample and out-of-sample predictability of both investment grade and high yield excess returns over Treasury. Two variables come from the existing literature: past equity return and past corporate bond return. Evidence for the other two variables is new: change in implied equity volatility and the Halloween indicator.
{"title":"On the Nature and Predictability of Corporate Bond Returns","authors":"Daniel Haesen, P. Houweling","doi":"10.2139/ssrn.1914680","DOIUrl":"https://doi.org/10.2139/ssrn.1914680","url":null,"abstract":"Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical. These components are mutually negatively correlated and their relative importance varies with credit quality. We show that it is of critical importance to take this into account when studying the predictability of corporate bond returns. In this paper we focus on the credit spread component of corporate bond returns, enabling us to find new predictors that were previously unknown to the literature. Moreover, by re-examining previously documented predictors, we are able to dismiss several of them as irrelevant for credit spread returns and to explain inconsistent findings between investment grade and high yield corporate bonds. In total, we find four factors with significant in-sample and out-of-sample predictability of both investment grade and high yield excess returns over Treasury. Two variables come from the existing literature: past equity return and past corporate bond return. Evidence for the other two variables is new: change in implied equity volatility and the Halloween indicator.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125305716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn effect” holds unconditionally and conditional on several risk factors. We argue that the anomaly can be explained with hedging demand by investors in anticipation of the “Halloween effect” in the stock market, wedding season gold jewelery demand in India and negative investor sentiment due to shorter daylight time. The autumn effect can also be characterized by a higher unconditional and conditional volatility than in other seasons.
{"title":"The Seasonality of Gold - The Autumn Effect","authors":"D. Baur","doi":"10.2139/ssrn.1989593","DOIUrl":"https://doi.org/10.2139/ssrn.1989593","url":null,"abstract":"This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn effect” holds unconditionally and conditional on several risk factors. We argue that the anomaly can be explained with hedging demand by investors in anticipation of the “Halloween effect” in the stock market, wedding season gold jewelery demand in India and negative investor sentiment due to shorter daylight time. The autumn effect can also be characterized by a higher unconditional and conditional volatility than in other seasons.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131181940","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the study of economic and financial panel data it is often important to differentiate between time-series and cross-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and financial architecture where a number of variables vary across time but not cross-sectionally while other variables vary cross-sectionally but not across time. Using two different estimation procedures we find a preference for market financing to be negatively associated with the size of expected premia. However, we also find that U.S. corporate bond spreads negatively determine financial architecture according to the first procedure but not according to the second estimation as U.S. Corporate bond spreads change value each year but have the same value across countries. Similarly some measures that change across countries but do not change across time, such as cultural dimensions as well as the an index of measures against self dealing, are significant determinants of financial architecture according second estimation but not according to the first estimation. Our results show that using these two estimation procedures together can assess time-series versus cross-sectional variations in panel data. This research should be of considerable interest to empirical researchers.
{"title":"Assessing Time-Series Versus Cross-Sectional Influences in Panel Estimates: International Financial Architecture and Expected Equity Premia","authors":"R. Aggarwal, John W. Goodell","doi":"10.2139/ssrn.2047724","DOIUrl":"https://doi.org/10.2139/ssrn.2047724","url":null,"abstract":"In the study of economic and financial panel data it is often important to differentiate between time-series and cross-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and financial architecture where a number of variables vary across time but not cross-sectionally while other variables vary cross-sectionally but not across time. Using two different estimation procedures we find a preference for market financing to be negatively associated with the size of expected premia. However, we also find that U.S. corporate bond spreads negatively determine financial architecture according to the first procedure but not according to the second estimation as U.S. Corporate bond spreads change value each year but have the same value across countries. Similarly some measures that change across countries but do not change across time, such as cultural dimensions as well as the an index of measures against self dealing, are significant determinants of financial architecture according second estimation but not according to the first estimation. Our results show that using these two estimation procedures together can assess time-series versus cross-sectional variations in panel data. This research should be of considerable interest to empirical researchers.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129105656","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have significantly low average future returns. We show that there is a large overlap between stocks classified as high default risk, and those that are likely to produce extremely high returns over the next year (‘glory’ stocks). Predicted glory and predicted distress are highly correlated, with over 50% of firms in the top distress risk quintile also in the top quintile of predicted glory. Stocks with high predicted probabilities for glory also earn abnormally low average returns. We find evidence that low returns to high glory firms are also present in firms with zero leverage, where financial distress is unlikely, and that the low returns to high distress risk firms are large and significant in ‘speculative’ firms (with high sales growth and market-to-book ratios) that have high predicted glory; subsequent returns are small and statistically insignificant in ‘traditionally distressed’ firms. Thus, we show that, on average, firms which have a high potential for death (default) also tend to have a high potential for glory; where the two factors can be separated, the results suggest that it is glory, rather than distress, which is responsible for the low expected returns in securities.
Campbell, Hilscher, and Szilagyi(2008)表明，违约概率高的企业的平均未来收益显著较低。我们发现，在被归类为高违约风险的股票和那些可能在明年产生极高回报的股票(“荣耀”股票)之间存在很大的重叠。预测的荣耀和预测的痛苦高度相关，超过50%的公司处于困境风险最高的五分之一，同时也处于预测荣耀的最高五分之一。那些被预测很有可能获得辉煌的股票，其平均回报率也异常低。我们发现证据表明，高荣耀公司的低回报也存在于零杠杆的公司中，这些公司不太可能出现财务困境，而高困境风险公司的低回报在具有高预期荣耀的“投机性”公司(具有高销售增长和市净率)中是巨大而显著的;在“传统上陷入困境”的公司中，随后的回报很小，在统计上也不显著。因此，我们表明，平均而言，具有高死亡(违约)潜力的公司也往往具有高荣耀潜力;如果这两个因素可以分开，结果表明，是荣耀，而不是痛苦，导致了证券的低预期回报。
{"title":"What Explains the Distress Risk Puzzle: Death or Glory?","authors":"Jennifer S. Conrad, Nishad Kapadia, Yuhang Xing","doi":"10.2139/ssrn.2023933","DOIUrl":"https://doi.org/10.2139/ssrn.2023933","url":null,"abstract":"Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have significantly low average future returns. We show that there is a large overlap between stocks classified as high default risk, and those that are likely to produce extremely high returns over the next year (‘glory’ stocks). Predicted glory and predicted distress are highly correlated, with over 50% of firms in the top distress risk quintile also in the top quintile of predicted glory. Stocks with high predicted probabilities for glory also earn abnormally low average returns. We find evidence that low returns to high glory firms are also present in firms with zero leverage, where financial distress is unlikely, and that the low returns to high distress risk firms are large and significant in ‘speculative’ firms (with high sales growth and market-to-book ratios) that have high predicted glory; subsequent returns are small and statistically insignificant in ‘traditionally distressed’ firms. Thus, we show that, on average, firms which have a high potential for death (default) also tend to have a high potential for glory; where the two factors can be separated, the results suggest that it is glory, rather than distress, which is responsible for the low expected returns in securities.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"230 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134590808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We show that participants are influenced by their coworkers when they make equity investment decisions. Using a rich dataset of 401(k) plans, we find that individuals are likely to increase (decrease) their risky share when they have lower (higher) equity exposure than their coworkers in the last period. The effect is especially strong when the difference in equity exposure is substantial. Furthermore, individuals are likely to increase their equity exposure if they earn lower equity returns than their coworkers did in the last period. However, when their returns on equity are higher than their peers’, they tend not to decrease their risky share. The interaction of peer behavior and peer outcome influences investment decisions, inducing individuals with substantially lower equity exposure than their coworkers to increase their risky share when coworkers also earned higher returns. Finally, we find that there exists heterogeneity in short-term excess returns following social interaction.
{"title":"Social Interaction Effects and Individual Portfolio Choice: Evidence from 401(K) Pension Plan Investors","authors":"Timothy (Jun) Lu, Ning Tang","doi":"10.2139/ssrn.2024095","DOIUrl":"https://doi.org/10.2139/ssrn.2024095","url":null,"abstract":"We show that participants are influenced by their coworkers when they make equity investment decisions. Using a rich dataset of 401(k) plans, we find that individuals are likely to increase (decrease) their risky share when they have lower (higher) equity exposure than their coworkers in the last period. The effect is especially strong when the difference in equity exposure is substantial. Furthermore, individuals are likely to increase their equity exposure if they earn lower equity returns than their coworkers did in the last period. However, when their returns on equity are higher than their peers’, they tend not to decrease their risky share. The interaction of peer behavior and peer outcome influences investment decisions, inducing individuals with substantially lower equity exposure than their coworkers to increase their risky share when coworkers also earned higher returns. Finally, we find that there exists heterogeneity in short-term excess returns following social interaction.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132545334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper uses a unique dataset of corporate credit line usage to examine whether firms draw precautionary balances from their credit lines in anticipation of a decline in future availability. We find that credit line drawdowns precede declines in cash flow. Further, we model predicted drawdowns and estimate unexpected drawdowns as the residual from the predictive regression. We show that unexpected drawdowns predict future cash flow declines, future covenant violations and concurrent ratings downgrades. Consistent with the use of unexpected drawdowns as a proxy for precautionary balances that are not needed for immediate investment, unexpected drawdowns are associated with increases in cash balances. Firms with unexpected drawdowns do not get better terms in renegotiations, but they are more able to finance future capital expenditures following a covenant violation than those firms without unexpected drawdowns. Overall, these findings support the hypothesis that firms strategically draw on their credit lines to access cash before their performance deteriorates.
{"title":"Strategic Credit Line Usage and Performance","authors":"A. Kizilaslan, A. Mathers","doi":"10.2139/ssrn.2023788","DOIUrl":"https://doi.org/10.2139/ssrn.2023788","url":null,"abstract":"This paper uses a unique dataset of corporate credit line usage to examine whether firms draw precautionary balances from their credit lines in anticipation of a decline in future availability. We find that credit line drawdowns precede declines in cash flow. Further, we model predicted drawdowns and estimate unexpected drawdowns as the residual from the predictive regression. We show that unexpected drawdowns predict future cash flow declines, future covenant violations and concurrent ratings downgrades. Consistent with the use of unexpected drawdowns as a proxy for precautionary balances that are not needed for immediate investment, unexpected drawdowns are associated with increases in cash balances. Firms with unexpected drawdowns do not get better terms in renegotiations, but they are more able to finance future capital expenditures following a covenant violation than those firms without unexpected drawdowns. Overall, these findings support the hypothesis that firms strategically draw on their credit lines to access cash before their performance deteriorates.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132773335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Legal restrictions create a material delay between the announcement of a friendly acquisition of a public firm and the deal’s final approval by target shareholders: a month for a takeover with a first step cash tender offer, longer for a merger. During this time target values may change, perhaps dramatically. While a target can accept new bids if its value rises, bidders usually cannot back out if the target’s value falls. We also observe that most takeovers occur at a significant premium to the target’s prior market price. Prior models of takeover bidding ignore the law-induced delay and resulting asymmetry between bidder and target, and generally assume that targets (if for sale) will accept zero-premium offers. We develop a model that incorporates delay-induced asymmetry and reserve prices. Principal new predictions include: targets often optimally set reserve prices higher than the current market price; first bidders may value the target for more than the target’s reserve price, yet be unwilling to bid because they expect a loss after accounting for the implied put option they provide the seller; the likelihood of a bidder making a bid is generally decreasing in the reserve price, the interim uncertainty, and the number of potential competing bidders; optimal reserve prices are decreasing in the interim uncertainty and number of potential new bidders, and can be below the target’s current price in extreme cases; (if the target offers a bustup fee to the first bidder, this increases the (conditional on the bustup fee) optimal reserve price, but reduces the target’s expected profit. Our predictions on the effect of bustup fees provide theoretical support for legal limits on bustup fees and other deal protections.
{"title":"Friendly Takeover Offers for Public Corporations: Interim Uncertainty, Reserve Prices, and Bustup Fees","authors":"Bernard Black, R. Dam","doi":"10.2139/ssrn.2023946","DOIUrl":"https://doi.org/10.2139/ssrn.2023946","url":null,"abstract":"Legal restrictions create a material delay between the announcement of a friendly acquisition of a public firm and the deal’s final approval by target shareholders: a month for a takeover with a first step cash tender offer, longer for a merger. During this time target values may change, perhaps dramatically. While a target can accept new bids if its value rises, bidders usually cannot back out if the target’s value falls. We also observe that most takeovers occur at a significant premium to the target’s prior market price. Prior models of takeover bidding ignore the law-induced delay and resulting asymmetry between bidder and target, and generally assume that targets (if for sale) will accept zero-premium offers. We develop a model that incorporates delay-induced asymmetry and reserve prices. Principal new predictions include: targets often optimally set reserve prices higher than the current market price; first bidders may value the target for more than the target’s reserve price, yet be unwilling to bid because they expect a loss after accounting for the implied put option they provide the seller; the likelihood of a bidder making a bid is generally decreasing in the reserve price, the interim uncertainty, and the number of potential competing bidders; optimal reserve prices are decreasing in the interim uncertainty and number of potential new bidders, and can be below the target’s current price in extreme cases; (if the target offers a bustup fee to the first bidder, this increases the (conditional on the bustup fee) optimal reserve price, but reduces the target’s expected profit. Our predictions on the effect of bustup fees provide theoretical support for legal limits on bustup fees and other deal protections.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121123501","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We develop a two-country international asset pricing model in which some investors face leverage constraints. In contrast to models with a single `world' bond, we show that tightening regulation can lead to the risk free interest rate rising. When demand for borrowing is high, a tightening of the constraint causes the investor to shift his loans from international more into local bond markets, putting upwards pressure on local interest rates. Indeed, he sacrifices diversification to gain more risk exposure, by under diversifying currency risk through international bonds. Exchange rate dynamics give rise to a currency risk premium, making carry trades profitable - even in the benchmark unconstrained economy. Consistent with empirical findings, a sudden binding of constraints can significantly shift exchange rate dynamics, rendering previously set up carry trades unprofitable.
{"title":"The Role of Bond Markets When Portfolio Choice is Constrained","authors":"Astrid V. Schornick","doi":"10.2139/ssrn.2023630","DOIUrl":"https://doi.org/10.2139/ssrn.2023630","url":null,"abstract":"We develop a two-country international asset pricing model in which some investors face leverage constraints. In contrast to models with a single `world' bond, we show that tightening regulation can lead to the risk free interest rate rising. When demand for borrowing is high, a tightening of the constraint causes the investor to shift his loans from international more into local bond markets, putting upwards pressure on local interest rates. Indeed, he sacrifices diversification to gain more risk exposure, by under diversifying currency risk through international bonds. Exchange rate dynamics give rise to a currency risk premium, making carry trades profitable - even in the benchmark unconstrained economy. Consistent with empirical findings, a sudden binding of constraints can significantly shift exchange rate dynamics, rendering previously set up carry trades unprofitable.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127792685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Our study analyzes the performance of hybrid mutual funds. Based on two extended Carhart models we determine total fund performance by comparing fund returns to investable fund-specific style benchmarks. Using daily returns and a quarterly measurement interval, we present an innovative return-based approach to decompose total performance into in-quarter abnormal performance and style-shifting performance. In addition, we split total style-shifting performance into active and passive components. In this context, we confirm possible benefits of these performance measures by analyzing several simulated investment strategies. Our empirical study covers 520 hybrid mutual funds from 10/1998 to 12/2009 and shows that hybrid mutual funds (i) do not outperform their benchmarks on average, (ii) partially show positive in-quarter abnormal performance and style-shifting abilities, and (iii) exhibit short-term persistence in in-quarter abnormal performance but not in style-shifting abilities.
{"title":"Short-Term Persistence in Hybrid Mutual Fund Performance: The Role of Style-Shifting Abilities","authors":"Ulf Herrmann, H. Scholz","doi":"10.2139/ssrn.1856076","DOIUrl":"https://doi.org/10.2139/ssrn.1856076","url":null,"abstract":"Our study analyzes the performance of hybrid mutual funds. Based on two extended Carhart models we determine total fund performance by comparing fund returns to investable fund-specific style benchmarks. Using daily returns and a quarterly measurement interval, we present an innovative return-based approach to decompose total performance into in-quarter abnormal performance and style-shifting performance. In addition, we split total style-shifting performance into active and passive components. In this context, we confirm possible benefits of these performance measures by analyzing several simulated investment strategies. Our empirical study covers 520 hybrid mutual funds from 10/1998 to 12/2009 and shows that hybrid mutual funds (i) do not outperform their benchmarks on average, (ii) partially show positive in-quarter abnormal performance and style-shifting abilities, and (iii) exhibit short-term persistence in in-quarter abnormal performance but not in style-shifting abilities.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127778751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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