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This paper provides a comparative analysis of project finance (PF) and traditional corporate finance (CF) bond spreads and pricing. Using a cross-section of 47,196 bonds issued worldwide in the 1993–2020 period, we show that PF and CF bonds are differently priced, PF bonds have higher spreads than comparable CF bonds, and although ratings are the most important pricing determinant for PF and CF bonds at issuance, investors rely on other contractual, macroeconomic, and firms' characteristics beyond these ratings. Our results do not support the hypothesis of PF transactions as mechanisms of reducing sponsoring firms' funding costs: the cost of borrowing affects financing choices and PF transactions' weighted average spread is higher than that of comparable CF bond deals. We also find that economies of scale, risk management, and information asymmetry arguments affect sponsoring firms' choice between PF and CF transactions.

This paper provides a comparative analysis of project finance (PF) and traditional corporate finance (CF) bond spreads and pricing. Using a cross-section of 47,196 bonds issued worldwide in the 1993–2020 period, we show that PF and CF bonds are differently priced, PF bonds have higher spreads than comparable CF bonds, and although ratings are the most important pricing determinant for PF and CF bonds at issuance, investors rely on other contractual, macroeconomic, and firms' characteristics beyond these ratings. Our results do not support the hypothesis of PF transactions as mechanisms of reducing sponsoring firms' funding costs: the cost of borrowing affects financing choices and PF transactions' weighted average spread is higher than that of comparable CF bond deals. We also find that economies of scale, risk management, and information asymmetry arguments affect sponsoring firms' choice between PF and CF transactions.

Строительная отрасль представляет собой одну из важнейших отраслей российской экономики, которая в совокупности со сферой жилищно-коммунального хозяйства занимает сегодня порядка 10 % ВВП страны. Развитие строительной отрасли в России имеет уже достаточно продолжительную историю, однако до сих пор можно наблюдать различного рода трансформационные процессы, протекающие в данном секторе экономики. Состояние рынка динамично меняется в зависимости от складывающихся социально-экономических условий, правового регулирования и мер по государственной поддержке отрасли, а также геополитической обстановки в мире. Вместе с тем обеспечение стабильности функционирования предприятий строительной отрасли представляет собой важнейшую задачу, стоящую перед любым государством, решение которой может способствовать обеспечению жильем населения страны, возведению новых и реконструкции старых объектов социальной и транспортной инфраструктуры и пр. В связи с этим актуальными для исследования становятся не только вопросы государственного регулирования компаний строительной отрасли, но и те финансовые механизмы, которые реализует каждый отдельный субъект рынка для обеспечения своей устойчивости и развития. Именно поэтому анализ структуры капитала, оценка долговых источников финансирования отдельных компаний, выявление инвестиционного потенциала субъектов рынка строительной отрасли представляют особый интерес для изучения. В данной статье анализируются причины привлечения заемных денежных средств в строительную отрасль, рассматриваются источники финансирования строительства, среди которых особое место отводится банковскому кредитованию и выпуску облигаций. Внимание акцентируется на изучении облигационных займов как наиболее перспективном и эффективном инструменте привлечения инвестиций предприятиями строительной отрасли. На основе анализа статистических данных и мнений экспертов отрасли делается вывод о преимуществах выпуска собственных облигаций строительными компаниями перед банковским кредитованием и о перспективах их более широкого применения в российской практике., The construction industry is one of the most important branches of the Russian economy, which together with the housing and communal services sector occupies about 10 % of the country’s GDP today. The development of the construction industry in Russia has already had a fairly long history, but it is still possible to observe various kinds of transformational processes taking place in this sector of the economy. The state of the market is changing dynamically depending on the prevailing socio-economic conditions, legal regulation and government support for the industry, as well as the geopolitical situation in the world. At the same time, ensuring the stability of the functioning of enterprises in the construction field is the most important task facing any country, the solution of which can contribute to the provision of housing for the population, the construction of new and reconstruction of old social and transport infrastructure facilities, etc. In this regard, not only the issues of state regulation of companies in the construction industry become relevant for the study, but also those financial mechanisms that each individual market entity implements to ensure its sustainability and development. That is why the analysis of the capitalstructure, the assessment of debt sources of financing of individual companies, the identification of the investment potential of the subjects of the construction industry market are of particular interest to study. This article analyzes the reasons for attracting borrowed funds to the construction industry, examines the sources of construction financing, among which a special place is given to bank lending and bond issuance. Attention is focused on the study of bond loans as the most promising and effective instrument for attracting investments by enterprises of the construction industry. Based on the analysis of statistical data and expert opinions, a conclusion is made about the advantages of issuing their own bonds by construction companies over bank lending and about the prospects for their wider application in Russian practice., Бизнес. Образование. Право, Выпуск 1 (62) 2023, Pages 1-7

Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponential smoothing. Based on pairwise correlation coefficients, the existence of a significant dependence in the development of the world stock market on the development of the American stock market was determined. Regarding the Ukrainian stock exchanges, only SE “PFTS” demonstrated its dependence on the US stock market. The results of the regression model based on an exponentially smoothed series of trading volumes in all markets showed that variations in the volume of trading on the world stock market are due to the situation on the US stock markets. Trading volume dynamics on Ukrainian stock exchanges such as SE “PFTS” and SE “Perspektiva” is almost 50% determined by the development of stock markets in the American region. Although Ukraine is geographically located in Europe, the results show a lack of significant links and the impacts of stock markets in this region on the major Ukrainian stock exchanges and the stock market as a whole.

Equity markets are amongst the most researched areas in asset pricing literature. Data availability and the liquid and transparent nature of equity markets have 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 their behaviour largely because of being at different points in the capital structure of firms. Indeed, adverse news for a company should adversely affect the pricing of both the firm’s equity and debt. As a result, practitioners often consider corporate bonds as a combination of government-bonds and beta-adjusted equities used as a proxy for credit exposure. In the thesis however, we seek to demonstrate that credit risk, although highly correlated in the short term, can be different from equity risk. The seminal work on the pricing of corporate debt was by Robert Merton (Merton 1974). The Merton model represented corporate debt as the combination of a risk-free asset and a short position in a put option on the assets of the firm. Equity was represented as a long call option on the assets of the firm. Since then models such as Black and Cox (1976) and Leland (1994) have extended the Merton model but the key features of corporate bond pricing and its co-movement with equity prices are still well represented by the Merton model. The Merton model, while capturing a point of commonality – the common effect of changes in asset prices to equity and debt price – and a key difference – the left-tailed nature of corporate debt returns – does not address other key areas of differences between the two asset classes. One area of difference, studied extensively in the empirical literature, but not in structural models is the significant difference in liquidity and trading dynamics between the two markets. Another key area of difference between the two markets comes from the differing type of investors. Regulations, which are much more onerous for corporate debt than equities, can lead to non-market-driven behaviour such as a significant aversion to downgrades. The goal of my PhD thesis is to study the commonality and differences between these two asset classes and Its implication on the cross-section of corporate bond returns. Specifically, we look at three aspects of differences between corporate and equities. The first chapter focuses on the issuance of corporate bonds and contrasts with equity issuance. It starts with the issuance process and analyses the new issue premiums in corporate bonds contrasting it with results seen in equity initial public offerings (IPOs). This chapter also analyses the determinants of corporate bond issuance concessions. The second chapter looks at the short-term commonalities and differences between the performance patterns of corporate bonds and equities. This chapter merges two distinct branches of literature on structural credit models and commonalities in corporate bond-equity behaviour with that of cross-asset momentum. The last two chapters focus on the topical area of exchange traded funds and their dislocations, as measured by the significant deviations between prices and net-asset-values (NAV), seen in this market during the extreme volatility at the peak of the Covid-19 crisis in March 2020. Specifically in chapter 4, we study the dislocation in fixed-income and specifically corporate bond ETFs and contrast it with the relatively better-behaved equity ETFs. We show that this relative dislocation is not just from liquidity differences and that the ETF price may have been an over-reaction. In chapter 5, we build a model for ETF arbitrage specifically taking into account incentives of the arbitrageurs, a critical difference between fixed income and equity ETFs. We show that inventory management by dual market makers and arbitrageurs may have exacerbated the dislocation.

This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 to 10 March 2021. We use daily prices of S&P U.S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 observations, and using Composite Index as a representative of conventional assets classes and S&P Green Bond Index to denote the green bond market. Results shows the connectedness between green bonds and the conventional asset classes intensified during the outbreak of the Coronavirus pandemic (COVID-19) as investors shifted their investment towards fixed income assets due to the plunge in the prices of stocks and commodities. The results also shows that green bonds are strongly connected with treasury bonds, aggregate bonds and bond index, as they share similarities with respect to issuance, risk and governance. Connectedness is weak in the case of composite index and energy bond index, as their prices do not have substantial influence on the green bond market. The study highlights the hedging and diversification benefits of green bonds. We have several implications for portfolio managers, policy makers and researchers.

In der ersten Arbeit analysiere ich die Renditen von Fallen Angel-Anleihen vor und nach ihrer Herabstufung zu hochverzinslichen Anleihen. Fallen Angel-Anleihen verzeichnen einen starken Kursrückgang vor und eine deutliche Erholung nach der Ankündigung der Herabstufung durch die Ratingagentur. Ich führe eine neue Benchmark ein, die den Preis von Fallen Angel-Anleihen besser widerspiegeln sollte, wenn sie nicht vor ihrer Herabstufung einen Ausverkauf erlebt hätten. Auf diese Weise kann ich den gesamten Ausverkauf vor der Bekanntgabe der Herabstufung schätzen und auf dieser Grundlage entscheiden, welche Fallen Angel-Anleihen nach ihrer Herabstufung gekauft werden sollten. Es besteht ein starker negativer Zusammenhang zwischen dem Ausmass des Ausverkaufs vor der Herabstufung und den zukünftigen Renditen nach der Herabstufung. Ich kann dann zeigen, dass ein Investor höhere Renditen erzielen kann, wenn er nur Fallen Angel-Anleihen kauft, die mit einem Abschlag zu ihrer jeweiligen geschätzten Benchmark-Rendite gehandelt werden. Im Vergleich zu bisherigen Methoden aus der Literatur, kann ein Anleger mit der eingeführten innovativen, datengestützten, neuartigen Benchmark höhere Renditen erzielen. Diese Outperformance wird umso deutlicher, je mehr man sich auf die Fallen Angel-Anleihen konzentriert, die vor der Ankündigung den grössten Ausverkauf erlebt haben. In der zweiten Arbeit untersuchen wir den Querschnitt von Unternehmensanleihen, indem wir einen grossen Datensatz von Jahresabschluss-, Aktien-und Anleihenmerkmalen verwenden. Wir verwenden einen prädiktiven Regressionsrahmen und das adaptive Lasso, um die wichtigsten Merkmale für den Querschnitt der Unternehmensanleihen auszuwählen. Bei Anwendung des adaptiven Lasso auf den gesamten Datensatz ergibt sich ein Zehn-Faktoren-Modell, wobei Value, Bond Reversal und Equity Momentum Spillover die dominierenden Faktoren sind. Im Gegensatz zu Aktienstudien scheinen Finanzvariablen aus Compustat keine grosse Aussagekraft bei der Vorhersage von Unternehmensanleihenrenditen zu haben. Wir validieren unsere ersten Ergebnisse, indem wir eine Out-of-Sample-Untersuchung mit einem Expanding-Window-Ansatz durchführen. Von den 60 Monaten, die in der Out-of-Sample-Stichprobe verwendet wurden, wählt das adaptive Lasso konsistent Value-, Bond-Reversal- und Equity-Momentum-Spillover aus. Abschliessend bewerten wir den wirtschaftlichen Nutzen von Investitionen gemäss den Vorhersagen des adaptiven Lassos und stellen fest, dass sie in Bezug auf die absoluten und risikobereinigten Renditen erhebliche Vorteile bieten. In der dritten Arbeit wird die Fähigkeit der Manager von Unternehmensanleihenfonds, Alpha zu generieren, bewertet. Wir wenden die False Discovery Rate (FDR) an, um zwischen Können und Glück zu unterscheiden. Wir stellen fest, dass eine langfristige Outperformance schwer zu erreichen ist, da nur 1% der Fonds in der Lage ist, während ihrer Laufzeit ein signifikantes Alpha zu erzielen. Allerdings sind die Fondsmanager in der Lage, kurzfristig Alpha zu generieren, wobei der Anteil der Können Fonds auf 13,5% steigt, wenn wir dreijährige Teilperioden untersuchen. Um diese Ergebnisse zu validieren, entwerfen wir eine Out-of-Sample-Anlagestrategie, bei der wir in Fonds entsprechend ihrem geschätzten Können investieren. Unsere Strategie generiert ein positives und signifikantes Alpha, was die Persistenz der Outperformance im kurzfristigen Bereich bestätigt. Unsere Ergebnisse sind für Anleger von wirtschaftlicher Bedeutung und deuten darauf hin, dass sich eine dynamische und aktive Managerauswahl auszahlt., In the first paper, I analyze fallen angel bonds' returns before and after their downgrade to high-yield. Fallen angel bonds experience a sharp price decline prior and a sharp recovery after the rerating announcement by the rating agency. I introduce a novel benchmark that should more closely mirror the price fallen angel bonds would have had, had they not experienced a fire sale prior to their downgrade. This allows me to estimate the total preannouncement sell-off and I then use this in order to decide on which fallen angel bonds should be bought after their downgrade. There exists a strong negative relationship between the size of the preannouncement sell-off and future postannouncement returns. I can then show, that an investor fares better, if only fallen angels are bought that trade at a discount to their respective estimated benchmark return had they not experienced the sell-off. Using the introduced innovative, data-driven, novel benchmark allows an investor to generate higher returns. This outperformance gets more pronounced as one focuses on the fallen angel bonds that experienced the highest preannouncement sell-off. In the second paper, we study the cross-section of corporate bonds utilizing a large set of financial statements, equity and bond characteristics. We use a predictive regression framework and the adaptive Lasso to choose the most relevant characteristics for the cross-section of corporate bonds. Applying the adaptive Lasso to the full dataset, we find a ten-factor model, with value, bond reversal, and equity momentum spillover being the dominant factors. Contrary to equity studies, financial variables from Compustat do not appear to have strong power in predicting corporate bond returns. We validate our initial results by running an out-of-sample exercise using an expanding window approach. Out of the 60 months utilized in the out-of-sample, the adaptive Lasso consistently chooses value, bond reversal, and equity momentum spillover. Finally, we evaluate the economic benefits of investing according to the predictions of the adaptive Lasso and find significant benefits in terms of absolute and risk-adjusted returns. In the third paper, we evaluate the ability of U.S. corporate bond fund managers to generate alpha. We apply the False Discovery Rate (FDR) to distinguish between «skill» and «luck.» We find that long-term outperformance remains elusive, with only 1% of the funds able to generate significant alpha over their life. However, fund managers are able to generate alpha over the short-term with the proportion of skilled funds increasing to 13.5% when we examine three-year sub-periods. To confirm these findings, we design an out-of-sample investment strategy where we invest in funds according to their estimated «skill» from past returns. Our strategy generates positive and significant alpha, which confirms the persistence in outperformance over the short-run. Our results are economically meaningful for investors suggesting that dynamic and active manager selection pays off.

This dissertation consists of three essays on empirical asset pricing. In the first paper, we examine the impact of test criteria in identifying true asset pricing factors. We focus on the Sharpe ratio and pricing performance improvement. While both criteria are exposed to model misspecification, we find that pricing performance criteria are inferior as their performance is driven by estimation bias. Through an empirical application, we demonstrate the impact of the criteria on the subset of selected factors. In the second paper, we study the cross-section of corporate bonds by utilizing a large set of financial statements, equity and bond characteristics. We use a predictive regression framework and the adaptive Lasso to choose the most relevant characteristics. Applying the adaptive Lasso, we find a ten-factor model, with value, bond reversal, and equity momentum spillover being the dominant factors. We evaluate the economic benefits of investing according to the predictions of the adaptive Lasso and find significant benefits in terms of absolute and risk-adjusted returns. In the third paper, we evaluate the ability of U.S. corporate bond fund managers to generate alpha. We apply the False Discovery Rate (FDR) to distinguish between 'skill' and 'luck'. We find that long-term out-performance remains elusive, with only 1% of the funds able to generate significant alpha over their life. However, fund managers can generate alpha over the short-term, with the proportion of skilled funds increasing to 13.5% when we examine three-year sub-periods.

I examine investors' within ESG investment preferences during the COVID‐19 pandemic by investigating the return spillover effects across the three different corporate bonds and equities‐based investment strategies. Investors prefer making investments in ESG leaders in the investment‐grade corporate bond market over ESG leaders in the equity and high yield corporate bond markets during times of uncertainty. It suggests that capital flows away from high yield corporate bond and equity markets to the investment‐grade corporate bond market. Investors find refuge in firms with relatively higher ESG ratings and creditworthiness in the fixed income market over the equity market during crisis periods.

China’s bond market has been ranked third globally; however, China’s corporate bonds are significantly less liquid than its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate bond market. The Monte Carlo simulation technique is used to quantify the impact on the liquidity premium of various liquidity factors: the liquidity level, liquidity volatility, liquidity shock, and the liquidity elasticity. Our findings conclude that the liquidity level is the most significant component of a liquidity premium. The impact on the liquidity premium of other liquidity factors is all conditional on the liquidity level. In addition, the impact of liquidity shocks and volatility is also subject to the market’s equilibrium mechanism. Further, the term of a bond affects the premium both directly and indirectly through its influence on a bond’s liquidity.

This dissertation studies the unintended consequences of the Liquidity Risk Management Rule adopted by the SEC in 2016. The rule imposes an upper bound for illiquid assets and a lower bound for liquid assets in mutual fund portfolios. In response to the regulation, corporate bond mutual funds shift their portfolios toward liquid corporate bonds. The ownership shift to liquid corporate bonds increases the comovement among the underlying liquid assets, and higher comovement among liquid corporate bonds increases the volatility in liquid corporate bond funds. However, I find little evidence of stabilized fund flows. Overall, reducing fragility in mutual funds using portfolio constraints has unintended consequences.

We investigate whether a firm’s social capital and the trust that it engenders are viewed favorably by bondholders. Using firms’ environmental and social (E&S) performance to proxy for social capital, we find no relation between social capital and bond spreads over the period 2006–2019. However, during the 2008–2009 financial crisis, which represents a shock to trust and default risk, high-social-capital firms benefited from lower bond spreads. These effects are stronger for firms with higher expected agency costs of debt and firms whose E&S efforts are more salient. During the crisis, high-social-capital firms were also able to raise more debt, at lower spreads, and for longer maturities. We find no evidence that the governance element of ESG is related to bond spreads. The gap between E&S performance of firms in the bottom and top E&S terciles has narrowed since the financial crisis, especially in the year prior to accessing the bond market.

The subject of the study is the financial system and monetary regulation of the economy during the COVID-19 coronavirus pandemic. The purpose of the article is to investigate the monetary policy pursued by the national Central banks of developed countries in the context of the economic crisis caused by pandemic. The paper uses comparative analysis, a systematic approach to the study of information, as well as graphical and tabular methods. The author considers monetary policy instruments used by national Central banks of developed countries to mitigate the impact of the pandemic on the real sector of the economy. The study reveals distinctive features of anti-crisis measures of monetary regulation bodies.

The purpose of the paper is to analyze the process of the corporate bond market formation in Eastern Europe and to determine the prospects for development in Ukraine. Methodology. It is justified that the main variables that affect corporate bond issues are loans granted to financial corporations (excluding banks) and non-financial corporations, share issues and equity. The empirical basis of the study is the reports of the National Securities and Stock Market Commission (on the amount of shares and bonds), the National Bank of Ukraine (on the amount of loans to corporations) and the State Statistics Service of Ukraine (on the amount of corporate equity). The study covers 20 years: from 2000 to 2019. Based on these data, a vector autoregressive model (VAR) was constructed. The forecast error variance decomposition (VDC) technique was used to identify the most influential variables in the corporate bond issuance process. Based on the VAR model, the forecast levels of model variables for 2021–2024 were obtained, which should have been achieved under the condition of planned development of the corporate bond market in Ukraine. It has been suggested that the economic shock of the COVID-19 has led to a decrease in the expected level of variables in 2020. Therefore, seven scenarios for the development of the corporate bond market are considered: A – reduction of equity amount; B – decrease in the amount of shares issued; C – decrease in the amount of loans to corporations; A + B; A + C; B + C; A + B + C. The results of the VDC technique have allowed to establish that the issue of corporate bonds in Ukraine largely depends on the amount of bank loans granted to corporations. Based on the VAR model and scenario forecasting, it was determined that the most favorable for the development of the corporate bond market of Ukraine is the scenario, in which corporations’ equity will be reduced by 10% due to increased uncovered loss but such a reduction will not lead to liquidation, and hence the cessation of circulation of their shares. Practical implications. Forecasting the amount of corporate bonds, shares and loans to corporations based on the proposed model allows companies to develop effective strategic plans, and investors – to decide on the allocation of their own financial resources. Value/originality. The proposed model of corporate bond market development in Ukraine includes internal and external sources of financing of enterprises, and allows to quantify the relationship between financial instruments (corporate bonds, loans and shares).

This paper aims to find a coherent relationship between stock prices and bond yields on the day of issue. We show that stock prices seem to have a weak positive relationship with yields as investors seem to consider the underlying health of a firm before investing their money in either security. This contrasts with earlier research and falls in line with later research. The findings show that one percentage increase in share price on date of issue has the potential to raise yields by 0.20% given the near-zero interest environment of the euro.

The average difference between the court value and post-emergence market value of newly issued stocks in Chapter 11 reorganizations exceeds 50%. We show that public dissemination of transactions in defaulted bonds reduces this difference by 23% and largely eliminates inter-claimant wealth transfers. The effects of dissemination are only significant when the bonds are sufficiently traded around the court valuation date, and when they receive significant amounts of post-emergence equity, indicating that the bond’s value is sensitive to the size and allocation of the pie. These findings imply that security prices have real effects: They improve the valuations of bankruptcy participants.

This dissertation contains three essays on financial markets concerning the relationship between short interest and returns in over-the-counter (OTC) equities, the effect of obtaining a rating on municipal bond offering yields, and the use of alternative trading systems (ATS) in the corporate bond market.Chapter 1 studies short positions among over-the-counter domestic common stocks. Short selling plays an important role in maintaining price efficiency, but short-selling in over-the-counter equities is often perceived as extremely rare. Short selling constraints are indeed high in this market, with the median fee to borrow a security being 2% for stocks with no short interest and 10% for stocks with short interest exceeding 1% of shares outstanding. Despite these constraints, 27% of domestic OTC equities have outstanding short interest positions on a given reporting date. Consistent with theories of short selling constraints such as Miller (1977), these high short selling constraints imply a substantial negative relationship between short interest and future returns. A portfolio of securities with short interest exceeding 1% of shares underperforms a portfolio of securities with no short interest by 31% annually and panel regressions show the relationship is robust to accounting for other security characteristics. The negative relationship between short interest and future returns suggests short sellers are trading in the direction of correcting mispricing in the OTC market, but the large magnitude and long time horizon over which short positions outperform suggests that there are large potential price efficiency gains from reducing constraints on short selling. Chapter 2, joint work with Haluk Unal, studies how whether a municipal bond is rated affects its offering yield. Approximately 34% of local municipal bond issues were issued without ratings during 1998 to 2017. We study the circumstances that affect the decision to obtain a rating and whether unrated bonds, controlling for observable risk factors, are more expensive to issue than rated bonds. Results show that issuers are less likely to obtain ratings for smaller issues, negotiated offerings, and bonds with high proxies for risk such as coming from areas with low personal income. We estimate the effect of forgoing a rating on offering yields using a doubly-robust Inverse Probability Weighted Regression Adjustment that controls for confounding that arises from risk and other characteristics affecting both the choice to obtain a rating and the yield. We separately analyze revenue bonds, general obligation bonds, bank qualified, and non-bank qualified bonds and find ratings decrease offering yields by 47, 49, 60, and 42 basis points respectively. The higher offering yields cost municipalities $22.5B in higher interest expense during our sample period. We find the choice of issuers to forgo ratings despite the substantial potential savings appears to be influenced by the underwriters they work with. Underwriters may face a conflict of interest where not obtaining a rating lowers the price investors are willing to pay from the bond, but also lowers the price the underwriter must pay the issuer and thus increases the underwriter’s profit. Chapter 3 is joint work with Matthew Kozora, Bruce Mizrach, Or Shachar, and Jonathan Sokobin. This chapter studies the circumstances when corporate bonds trade via an electronic ATS rather than in the traditional phone market and the relationship between venue choice and transaction costs. Trades on ATS platforms are smaller and more likely to involve investment-grade bonds, suggesting market participants trade via ATS when concerns about information leakage and adverse selection are lower. Trades on ATS platforms are more probable for older, less actively traded bonds from smaller issues, indicating participants are more likely to trade via ATS when search costs are high. Moreover, dealer participation on ATS platforms is associated with lower customer transaction costs of between 24 and 32 basis points.

Цель работы – рассмотрение целесообразности и эффективности привлечения заемного капитала методом выпуска ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ñ‹Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°Ñ†Ð¸Ð¹. Объектом исследования в работе является непубличное акционерное общество ЗАО ЛИЗИНГОВАЯ КОМПАНИЯ «Роделен»; предметом – выпуск Ð±Ð¸Ñ€Ð¶ÐµÐ²Ñ‹Ñ ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ñ‹Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°Ñ†Ð¸Ð¹ как способ привлечения капитала для ЛК «Роделен». Для достижения поставленной цели были рассмотрены теоретические аспекты и различные способы привлечения заемного капитала, проведено сравнение облигационного и кредитного займа, найдены действующие программы государственной поддержки для субъектов МСП по обоим способам привлечения капитала, а также рассмотрен алгоритм Ð²Ñ‹Ñ Ð¾Ð´Ð° компании на биржу. Проведен анализ конкурентного положения ЛК «Роделен» на рынке Ð»Ð¸Ð·Ð¸Ð½Ð³Ð¾Ð²Ñ‹Ñ ÑƒÑÐ»ÑƒÐ³, при анализе финансовой отчетности ЛК «Роделен» выявлена большая доля Ð·Ð°ÐµÐ¼Ð½Ñ‹Ñ ÑÑ€ÐµÐ´ÑÑ‚Ð² в структуре финансирования деятельности, определена платежеспособность эмитента и Ð½ÐµÐ¾Ð±Ñ Ð¾Ð´Ð¸Ð¼Ð¾ÑÑ‚ÑŒ в привлечении дополнительного заимствования. Рассчитана ожидаемая рыночная Ð´Ð¾Ñ Ð¾Ð´Ð½Ð¾ÑÑ‚ÑŒ по второму облигационному выпуску ЛК «Роделен», проведено сопоставление ожидаемой и реальной Ð´Ð¾Ñ Ð¾Ð´Ð½Ð¾ÑÑ‚ÐµÐ¹. Оценены дополнительные затраты при организации выпуска облигаций и привлечении Ð´ÐµÐ½ÐµÐ¶Ð½Ñ‹Ñ ÑÑ€ÐµÐ´ÑÑ‚Ð² через банк, рассчитана реальная стоимость заимствования. Результатом работы является обоснование эффективности привлечения Ð·Ð°ÐµÐ¼Ð½Ñ‹Ñ ÑÑ€ÐµÐ´ÑÑ‚Ð² компанией через фондовый рынок методом выпуска ÐºÐ¾Ñ€Ð¿Ð¾Ñ€Ð°Ñ‚Ð¸Ð²Ð½Ñ‹Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°Ñ†Ð¸Ð¹, а также предложение Ð´Ð°Ð»ÑŒÐ½ÐµÐ¹ÑˆÐ¸Ñ ÑÐ¿Ð¾ÑÐ¾Ð±Ð¾Ð² заимствований Ð´ÐµÐ½ÐµÐ¶Ð½Ñ‹Ñ ÑÑ€ÐµÐ´ÑÑ‚Ð² для эмитента., The purpose of the paper is to consider the expediency and efficiency of attracting borrowed capital by issuing corporate bonds. The object of the research is non-public joint stock company CJSC LEASING COMPANY "Rodelen"; the subject of the research is the issue of corporate bonds as a method of raising capital for LK "Rodelen". To achieve this goal, theoretical aspects, and various ways of raising borrowed capital were considered, a comparation of a bond loan and credit loan was made, existing government supports programs for SME subjects were found for both ways of raising capital, and the algorithm of the company’s entry into the stock exchange was considered. The analysis of the competitive position of LC “Rodelen” in the leasing services market was carried out; the analysis of the financial statements of LC "Rodelen" revealed a large share of borrowed funds in the structure of financing company’s operation. The solvency of the issuer and the need to attract additional borrowing was determined. In the paper the expected market yield of the second LC Rodelen bond issue was calculated, and a comparison of expected and real returns was carried out. The additional costs of organizing the issue of bonds and raising funds through the bank credits are estimated, the real costs of borrowing is calculated. The result of the research is to substantiate the effectiveness of raising borrowed capital by the company through the stock market by issuing corporate bonds, as well as suggesting further ways of borrowing funds for the issuer.

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&rsquo, s predictive power is from its ability to forecast future economic conditions.

We show that production networks are important for the transmission of unconventional monetary policy. Firms with bonds eligible for purchase under the European Central Bank���s Corporate Sector Purchase Program act as financial intermediaries by extending more trade credit to their customers. The increase in trade credit is more pronounced from core countries to periphery countries and for financially constrained customers. Customers increase investment and employment in response to the increase in trade financing, while suppliers expand their customer base, contributing to upstream industry concentration. Our findings suggest that trade credit redistributes the effects of monetary policy across regions and firms.

This study explores the possibility that cheep credit, provided to firms when profit opportunities on real investments are low, and when opportunities of financial investments are present, will loose some of it’s stimulus effect due to a crowding out effect of financial investments on real investments. Analyzing the changes in debt, and it’s channels of use during the recession of the covid19 pandemic, between firms with a history of stock buybacks, and firms without such a history, the study finds a significantly higher increase in debt for firms with a history of doing stock buybacks. The study concludes that this effect is due to firms finding financial uses of more cheap credit, which does crowd out real investments.

This paper documents that the bond investments of insurance companies transmit shocks from insurance markets to the real economy. Liquidity windfalls from household insurance purchases increase insurers' demand for corporate bonds. Exploiting the fact that insurers persistently invest in a small subset of firms for identification, I show that these increases in bond demand raise bond prices and lower firms' funding costs. In response, firms issue more bonds, especially when their bond underwriters are well connected with investors. Firms use the proceeds to raise investment rather than equity payouts. The results emphasize the significant impact of investor demand on firms' financing and investment activities.

The market for sustainable corporate bonds is booming and has been for the pastyears. Swedish real estate companies were first with issuing green corporate bonds andresponsible for the largest amount of issued corporate bonds. However, in the socialand sustainability corporate bond market, the sector is lagging. Why would companiesissue sustainable bonds instead of regular, as it involves more issuing costs and morerequirements? Are green bonds a less risky asset and why have not thesocial/sustainability corporate bond market boomed yet?A proven method is applied by a matching approach using Mahalanobis distance withfocus on green corporate bonds issued by Swedish real estate companies at NasdaqNordic’s sustainable debt list. We compare green and traditional bonds by mean andmedian using paired t-test and Wilcoxon test. Our results conclude that the premiumon green bonds amounts to an average of 13.0 basis points with a median value of 13.6basis points, both at the 1% significance level.Interviews are held with issuers, investors, banks, and rating institutes for a deeperunderstanding behind incentives and the sustainable bonds market. Most respondentsmean that a sustainable label is connected to a premium. Besides an economicincentive, most of the respondents mean that issuing sustainable bonds is a valuablesignaling element to show the market a company’s sustainable commitment.Respondents further say that social and sustainability bonds are lagging due to thelack of key performance indicators (KPIs), regulations, and that such engagementrequires too small investment volumes. With further regulations, the risk ofenvironmental, social, and governance (ESG) washing is minimized, and respondentsbelieve that greenwashing is particularly becoming rarer as the market is maturing.Finally, the respondents all believe in further growth in both green, social andsustainability bonds, but to varying degrees.Our results conclude that there are many incentives in adding the sustainability factorin the capital structure to reduce financial costs as well as improving (or maintaining)brand image. We hope our results can give further incentives to issue sustainable debtas well as bring a deeper understanding to the challenges slowing down thedevelopment of social and sustainability bonds. Marknaden för hållbara företagsobligationer blomstrar och har gjort det under desenaste åren. Svenska fastighetsbolag var först med att emittera grönaföretagsobligationer och står för den största utestående volymen av emitteradeföretagsobligationer. Däremot halkar sektorn efter när det kommer till sociala ochhållbarhetsobligationer. Varför skulle företag ge ut hållbara obligationer när detinnebär högre emissionskostnader och högre krav? Är gröna obligationer en mindreriskabel tillgång och varför har vi inte sett samma utveckling för sociala/hållbarhetsföretagsobligationsmarknaden?En beprövad matchningsmetod utförs genom att tillämpa Mahalanobis avstånd medfokus på gröna företagsobligationer utgivna av svenska fastighetsbolag på NasdaqNordics hållbara obligationslista. Vi jämför den initiala avkastningen utifrånmedelvärde och median med hjälp av parat t- test och Wilcoxon test. Våra resultatvisar att greenium i genomsnitt uppgår till 13,0 räntepunkter med en median på 13,6räntepunkter, båda på 1% signifikansnivå.Intervjuer genomförs med emittenter, investerare, banker och kreditvärderingsinstitut för att få en djupare förståelse för underliggande incitament och marknadenför hållbara obligationer. De flesta respondenter anser att en hållbar märkning ärkopplad till en premie. Utöver det anser respondenterna att emittering av hållbaraobligationer är en värdefull signal för att visa företagets hängivenhet till hållbarhet,där enbart investerare motsätter sig. Respondenterna menar vidare att sociala ochhållbarhetsobligationer halkar efter på grund av bristen på nyckeltal, regleringar ochatt sådana investeringar omfattar för små volymer. Med ytterligare regleringarminimeras risken för environmental, social och governance (ESG) washing, därrespondenterna anser att greenwashing framför allt blir mer sällsynt i takt med attmarknaden mognar. Slutligen tror samtliga respondenter på ytterligare tillväxt i bådegröna, sociala och hållbarhetsobligationer, dock i varierande grad.Våra resultat visar att det finns många incitament att lägga till hållbarhetsfaktorn ikapitalstrukturen för att minska finansiella kostnader samt förbättra (eller bibehålla)ett företags varumärke. Vi hoppas att våra resultat kan ge ytterligare incitament attemittera hållbara obligationer samt ge en djupare förståelse för de utmaningar sombromsar utvecklingen för sociala obligationer och hållbarhetsobligationer