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This paper surveys the literature to document the main stylized facts, risks, and policy challenges related to the expansion of global nonfinancial corporate debt after the 2008–09 global financial crisis. Nonfinancial corporate debt steadily increased after the crisis, especially in emerging economies. Between 2008 and 2018, corporate debt increased from 56 to 96 percent of gross domestic product in emerging economies, whereas this ratio remained stable in developed economies. Nonfinancial corporate debt was mainly issued through bond markets, and its growth can be largely attributed to accommodative monetary policies in developed economies. Whereas increased debt financing has some positive aspects, it has also amplified firms' solvency risks and exposure to changes in market conditions, such as the economic downturn triggered by the COVID-19 pandemic. Because capital markets have a larger role in firm financing, policy makers have limited tools to mitigate the risks of growing firm debt.

CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior O financiamento por meio de títulos de dívida pode levar ao conflito de interesses entre acionistas e credores, por isso esse estudo tem como objetivo investigar qual a influência do índice de proteção dos credores no interesse dos fundos multimercados pela aquisição de debêntures. A pesquisa envolveu 926 séries de debêntures, as quais representam 61% do volume total emitido em debêntures no Brasil de 2009 a 2017. A respeito dos fundos multimercados, foram considerados 1753 fundos, os quais compreendem cerca de 21,68% do patrimônio líquido total dos fundos multimercados da indústria brasileira de fundos de investimento no mesmo período. Para testar a relação proposta, foram consideradas também variáveis correspondentes às características das debêntures, das empresas emissoras e dos fundos multimercados. As principais evidências sinalizam que as cláusulas restritivas mais comuns dizem respeito à atuação negligente das empresas, à liquidação, dissolução e falência, bem como às restrições quanto à mudança da estrutura da empresa. Ademais, as cláusulas menos comuns compreendem a política de endividamento, de emissão e amortização de ações, assim como rebaixamento do rating. No tocante ao índice de proteção dos credores, analisado sem a ponderação pela cláusula “vencimento automático” e com a ponderação por esta cláusula, notou-se, respectivamente, médias de 0,6731 e 0,5254. Isso sinaliza que, após a ponderação, houve uma redução no valor do índice, sendo esta diferença estatisticamente significante em todos anos ao nível de 1%. A respeito das alocações dos fundos multimercados, observou-se pequena participação das debêntures nas carteiras dos fundos, visto que somente cerca de 1,36% é investido nestes títulos de dívida. Ademais, para testar a hipótese proposta, foram estimados dois modelos de regressão linear com estimadores em dados agrupados, aplicando-se a correção dos erros padrão pela matriz robusta de White (1980). As relações, observadas nos modelos econométricos, respondem à hipótese H1 ao nível de 1% de significância, o que indica, portanto, que os fundos multimercados tendem a ser influenciados pelo índice de proteção dos credores nas aquisições destes títulos de dívida. Companies financing through debt securities may lead to conflicts of interest between shareholders and bondholders, so this study aims to investigate the influence of bondholders’ protection index in multimarket funds interest through the acquisition of debentures. This survey comprised 926 series of debentures, which represent 61% of the total volume of issued debentures in Brazil from 2009 to 2017. Regarding multimarket funds, 1753 funds were considered, which cover approximately 21.68% of Brazilian multimarket funds total net assets in the same period. In order to test the proposed relationship, we also have considered variables corresponding to characteristics of debentures, issuing companies and multimarket funds. The main evidence indicates that the most common restrictive clauses refer to companies' negligent performance, liquidation, dissolution, and bankruptcy, as well as restrictions on the structure change. Moreover, the less common clauses comprise policy of indebtedness, issuance of shares and amortization, in addition to a downgrading of rating. Concerning bondholders' protection index, analyzed without the weighting of the "automatic maturity" clause and with the weighting by this clause, we have noticed, respectively, averages of 0.6731 and 0.5254. It seems that after weighting, there was a statistically and significant reduction in these index values, at the level of 1%, in the beforementioned period. Concerning allocations of multimarket funds, it was noticed the small participation of debentures in these funds portfolios, since only about 1.36% is invested in debt securities. Furthermore, for testing this study hypothesis, two linear regression models were measured with pooled estimators, applying the standard error correction by White's robust matrix (1980). We point out that the noticed relationships in econometric models respond to the H1 hypothesis at the 1% significance level, which indicates, therefore, that multimarket funds tend to be influenced by bondholders' protection index in the process of corporate bonds acquisition. Tese (Doutorado)

This paper aims to create a bondholders’ protection index (BPI) and to investigate what the influence of this index would be on multimarket funds’ allocation in corporate bonds. Understanding this relation is relevant because only about 1.36% of multimarket funds’ portfolios correspond to debentures. This study advances the literature by covering a topic little discussed in a Brazilian context, proposing the creation of a BPI, which would be related to the number of automatic maturity clauses, which guarantee immediate payment to bondholders in cases of the rupture of a contract. This research comprised 926 debentures series issued in Brazil from 2009 to 2017, and 1,753 multimarket funds, which allocated some portfolios’ percentage in these securities. In creating the BPI, we contemplated 15 restrictive clauses, which the most common correspond to negligent business performance, liquidation, dissolution and bankruptcy, and restrictions related to company structure. Moreover, we examined less common restrictive clauses as well, including indebtedness policy, shares issuance and amortization, and ratings downgrading. Regarding data analysis, we employed multiple linear regression models, with pooled estimators, applying the standard error correction by White’s robust matrix (1980). The main results suggest that BPI positively effects multimarket funds’ allocation in debentures. Furthermore, this influence is more intense in indentures with higher number of clauses with automatic maturity. Thus, this study contributes to literature about restrictive clauses, since it demonstrates that debentures’ flexible and adaptable structure seems to be interesting for the main bondholders in Brazil. Resumo Este estudo tem como objetivo criar um índice de proteção dos credores (IPCr) e investigar qual a influência desse índice no interesse dos fundos multimercados pela aquisição de debêntures. É relevante compreender o que influencia os fundos multimercados a adquirir debêntures, pois somente cerca de 1,36% dos portfólios dos fundos investigados é alocado nesses títulos de dívida. Desse modo, entende-se que esta pesquisa avança a literatura não só por abranger um tema pouco investigado na realidade brasileira, mas também por propor a criação de um índice e realizar a sua interação com o número de cláusulas de “vencimento automático”, a qual garante o imediato pagamento aos credores em situações de violação do contrato. A pesquisa envolveu 926 séries de debêntures, emitidas no Brasil de 2009 a 2017, e 1.753 fundos multimercados, que alocaram algum percentual das carteiras nesses títulos. O IPCr contemplou 15 cláusulas restritivas, sendo as mais comuns correspondentes à atuação negligente das empresas, à liquidação, dissolução e falência, e às restrições quanto à mudança da estrutura da empresa. Já as menos comuns compreendem a política de endividamento, de emissão e amortização de ações, e rebaixamento do rating. A respeito da análise dos dados, foram utilizados modelos de regressão linear múltipla, com dados agrupados e correção dos erros padrão pela matriz robusta de White (1980). Os resultados sugerem evidências de que o IPCr afeta positivamente as porcentagens investidas pelos fundos multimercados em debêntures. O efeito do IPCr nas porcentagens investidas pelos fundos é maior para escrituras que possuem elevado número de cláusulas com vencimento automático. A identificação desse efeito representa uma contribuição aos trabalhos sobre as cláusulas restritivas, por demonstrarem que a estrutura flexível e adaptável das debêntures parece atrair o interesse dos principais credores desses títulos no Brasil.

espanolEl grado de desarrollo de los mercados financieros son un indicativo del crecimiento economico de los paises. Una alternativa para el financiamiento de las empresas es la colocacion de bonos corporativos a traves del mercado de valores, asi, este estudio pretende revisar el comportamiento en el mercado de valores peruano relativo a las emisiones de bonos corporativos comparativamente durante los periodos 2005-2010 y 2015-2019, como reflejo de la situacion del mercado actual peruano. Es una investigacion de tipo documental y descriptiva, recopilando datos relativos a las colocaciones de bonos corporativos (montos, plazos de vencimiento y tasas de interes), mediante la revision de notas de prensa de la Superintendencia del Mercado de Valores (SMV) y los respectivos informes acumulados, de las diferentes companias clasificadoras de riesgo aprobadas por SMV, para cada una de las empresas en estudio. Se observo en promedio un aumento en las emisiones, asi como la disminucion de las tasas de interes y ambas tendencias, fueron estadisticamente significativas. Por otra parte, dos de las empresas revisadas, emitieron bonos verdes tanto en el mercado nacional como en el internacional. Estos, son indicadores favorables para la economia del Peru, los cuales validan que viene en crecimiento y mas aun, predispuestas al cambio global en donde se busca mas que el financiamiento empresarial, un impacto positivo en el ambito social y en el medio ambiente, con la emision de bonos verdes. EnglishThe degree of development of financial markets is an indicator of countries' economic growth. An alternative financing for companies is the placement of corporate bonds through the stock market, so this study aims to comparatively review the behavior of the Peruvian stock market in relation to corporate bond issues during the periods 2005-2010 and 2015-2019, as a reflection of the current situation of the Peruvian market. It is a documentary and descriptive study that collects data related to corporate bond placements (amounts, maturity terms and interest rates), through the review of press releases from the Superintendence of the Securities Market (SMV) and the respective cumulative reports of the different risk classifiers approved by the SMV, for each of the companies under study. On average, an increase in emissions was observed, as well as a decrease in interest rates, and both trends were statistically significant. On the other hand, two of the companies examined issued green bonds in both the domestic and international markets. These are favorable indicators for Peru's economy, validating that it is growing and even more so, predisposed to global change in which more than business financing is sought, a positive impact in the social and environmental spheres, through the issuance of green bonds.

Este estudo objetiva analisar a viabilidade da utilização das debêntures como instrumento de financiamento às empresas inovadoras pela Finep. Dada a atual conjuntura econômica do Brasil, identifica-se a oportunidade de criação pela Finep de um novo produto para grandes empresas, no qual projetos inovativos acima de R$ 90MM receberiam apoio para captação de recursos no mercado de capitais. No intuito de melhorar as condições das emissões de debêntures voltadas ao financiamento de projetos inovativos, a Finep atuaria tanto na certificação do investimento quanto na aquisição de parte dos títulos. Com isso, estima-se a possibilidade de aumentar em 28% o quantitativo de projetos incentivados, com benefícios financeiros para todas as partes envolvidas. This study aims to analyze the feasibility of using debentures as a financing instrument for innovative companies by Finep. According to the current brazilian economic scenario, Finep has the opportunity to create a new product for large companies, in which innovative projects above R$ 90MM would receive support for raising funds in the capital market. In order to improve the debentures´s conditions at financing innovative projects, Finep would act both in the certification of the investment and in the acquisition of part of the corporate bonds. Thus, it is estimated that the number of projects encouraged may increase by 28%, with financial benefits for all parties involved.

This paper studies how crises prompted firms to switch borrowing across markets, impacting the amount borrowed, maturity, and currency denomination at the firm and aggregate levels. Using data on worldwide debt issuance from advanced and emerging economies, the paper shows that firms shifted their issuances between domestic and international syndicated loans and corporate bonds during financial crises. Firms reduced their borrowing in shock-hit markets but increased it in other debt markets. Firms also moved toward longer-term markets, maintaining (or even increasing) their borrowing maturity. As they moved toward domestic markets during international crises, firms reduced the share of foreign currency debt. The opposite occurred during domestic crises. Large firms were the ones that switched between international and domestic markets, affecting aggregate capital raising activity. The analysis of four distinct markets generates patterns consistent with credit supply shocks that are different from those obtained when studying the dynamics of individual markets.

We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and issuers. We find that due to the increased supply and demand for pledgeable collateral following eligibility, (i) securities lending market trading activity increases, (ii) eligible bonds have lower yields, and (iii) the liquidity of newly-issued bonds declines, whereas the liquidity of older bonds is una↵ected/improves. Corporate bond lending relaxes the constraint of limited collateral supply, thereby making the market more cohesive and complete. Following eligibility, bond-issuing firms reduce bank debt and expand corporate bond issuance, thus increasing overall debt size and extending maturity.

I show that the pricing of a bond liquidity shock depends on the current size of a firm’s bond rollover exposure. Using US corporate bond transactions data, I find that a market liquidity shock induces a larger yield spread increase among firms with nonzero rollover exposures. This effect is more pronounced for credit risky firms and increases in the size of the rollover exposure. Furthermore, I show that tests that do not control for the heterogeneity in firms’ rollover exposure policies provide biased estimates of the pricing impact of the rollover channel.

We investigate the trading of corporate bonds on alternative trading system (ATS) platforms. We draw a key distinction between request-for-quote (RFQ) and electronic communication network (ECN) trading protocols, which balance investors' preference for immediacy and anonymity. Trades on ATS platforms are smaller and more likely to involve investment-grade bonds. Trades on ATS platforms are more probable for older, less actively traded bonds from smaller issues and for bonds traded by more dealers where inventory is high. Moreover, dealer participation on ATS platforms is associated with lower customer transaction costs of between 24 and 32 basis points.

Den svenska ekonomin har gått på högvarv under flera år och har kännetecknats av en lågräntemiljö med god tillgång på kapital. I spåren av finanskrisen under 2008 har flera kapitalkällor vuxit fram och möjliggjort en diversifiering av finansiering. Konkurrens bland kapitalkällorna har pressat priserna, ökat flexibiliteten, skapat längre löptider och ökat valfriheten för fastighetsbolagen. Detta är resultatet av stränga regelverk för bankväsendet och ett ökat intresse från både internationella och nationella investerare. Marknadsfinansiering har alltså fått en mer central roll i fastighetssektorns skuldportföljer. Covid-19-krisen har ställt detta på sin spets och dämpat tillgången på kapital. I den akademiska litteraturen är antalet studier inom forskningsfälten corporate finance och behavioral finance i kristid relativt få. Studiens syfte är att utforska marknadsaktörers uppfattning om krisen och om alternativ för refinansiering av kommersiella fastigheter samt att jämföra den nuvarande situationen med tidigare kriser. Studien bidrar med unikt material eftersom den produceras i inledningen av Covid-19-krisen. Studien är kvalitativ och använder sig av en dokumentstudie samt en intervjustudie om 17 respondenter från den svenska kommersiella fastighetsmarknaden. Dokumentstudien har möjliggjort en djupgående analys av hur tidigare ekonomiska kriser har påverkat fastighetsmarknaden och vilka lärdomar som kan dras. Aktörerna i studien anger att Covid-19 minskar tillgången på kapital för fastighetsmarknaden. Detta eftersom att det råder en stor osäkerhet i marknaden, vilket orsakat att flera kapitalkällor “fryst”. Det går att se signaler som pekar på ett skifte av finansieringskällor för de svenska fastighetsbolagen. Flera vänder sig nu från kapitalmarknaden och mot bankmarknaden för att få hjälp med refinansiering. Covid-19 har realiserat en unik refinansieringsrisk som inte påminner om tidigare kriser, vilket kan förstås mot bakgrund av de senare årens ökade användande av nya finansieringsformer. The Swedish economy has been booming for several years and has been characterized by a low interest rate environment with good access to capital. In the wake of the financial crisis in 2008, several sources of capital have emerged and enabled diversification of funding. Competition among the capital sources has pushed prices down, increased flexibility, created longer maturities and increased freedom of choice for the real estate companies. This is the result of stringent banking regulations and increased interest from both international and national investors. Market financing has thus been given a more central role in the property sector's debt portfolios. The Covid-19-crisis has put this at its forefront and slowed the supply of capital. In the academic literature, the research fields of corporate finance and behavioral finance in times of crisis are still relatively unexplored. The aim of the study is to explore the market actor’s perception of the crisis and of alternatives for the refinancing of commercial real estate as well as comparing the present situation to earlier crises. This study is produced during the emergence of the Covid-19 crisis in the Spring of 2020 and provides a unique material. The study is qualitative and uses a document study as well as an interview study of 17 respondents from the Swedish commercial real estate market. The document study has enabled an in-depth analysis of how previous economic crises have affected the real estate market and what lessons can be learned to gain an understanding of the study's research issues. The participants in the study indicate that Covid-19 reduces the supply of capital for the real estate market. There is great uncertainty in the market, which has caused several sources of capital to “freeze”. It is also possible to see signals that point to a shift in sources of financing among the Swedish real estate companies. Companies turn from the capital market to the banking sector for refinancing. Covid-19 has realized a unique refinancing risk that is not reminiscent of previous crises, which can be understood in the light of the increased use of new forms of financing in recent years.

We study how differences in the aggregate structure of corporate debt financing affect the transmission of monetary policy. Using high-frequency financial market data to identify monetary policy shocks in a panel of euro area countries, we find that: bond finance dampens the overall response of firm credit to monetary policy shocks in economies with a high initial share of bond- relative to bank-based finance; this effect weakens, and may even reverse, in economies with a low share of bond financing; and the dampening effect of a larger bond financing share also attenuates the ultimate impact of monetary policy on economic activity. These findings point to corporate bond markets acting as a "spare tire" in situations when bank lending contracts.

The causal effect of the European Central Bank's corporate bond purchase program on bond spreads in the primary market is evaluated, making use of a novel regression discontinuity design. The results indicate that the program did not, on average, permanently alter the yield spreads of eligible bonds relative to those of noneligible. Combined with evidence from previous studies, this finding suggests the effects of central bank asset purchase programs are in no way limited to the prices of the specific assets acquired.

В статье анализируется рынок корпоративных облигации. В результате исследования автором сделан вывод о росте числа высокорискованных облигации. Было выявлено, что собой представляют мусорные облигации и какое влияние они оказывают на долговой рынок. В странах, выбранных автором для анализа, выделены отрасли, наиболее подверженные риску дефолта. Предложен ряд мер для обеспечения прозрачности долгового рынка и снижения влияния высокорискованных облигации на его качество., This article analyzes the corporate bond market. As a result of the study, the author concluded that the number of junk bonds increased. It was revealed what junk bonds are and what impact they have on the debt market. Industries at risk of default selected in determined countries. A number of measures have been proposed to ensure transparency of the debt market and reduce the impact of high-risk bonds on its quality., Экономика и предпринимательство, Выпуск 3 (116) 2020

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is important to be able to determine the number of lines/issuers of such assets, not only for portfolio management but also for risk management purposes. The approach that I introduce shows the dependence of the critical number of lines of fixed income assets on the main interest rate risk and credit risk drivers. Specifically, I examine the importance of volatility risk, force of mean reversion, default risk, recovery risk, and default dependence risk on the critical number of assets in a fixed income portfolio. The methodology in this paper relies on the use of the coefficient of variation for the computation of the critical number of credit-sensitive securities in a fixed income portfolio. To the best of my knowledge, this paper is the first to develop such an approach.

Тема выпускной квалификационной работы: «Исследование эффективности рынка корпоративных облигаций Китая». Цель работы заключается в определении уровня эффективности рынка корпоративных облигаций с точки зрения эмпирического анализа рыночных данных, который поможет финансовым регуляторам эффективно понять функционирование и совершенствование рынка, чтобы сформулировать более реалистичные и целенаправленные правила и политики. Объект исследования: рынок корпоративных облигаций Китая. Предмет исследования: оценка уровня эффективности рынка корпоративных облигаций. Задачи, которые решались в ходе исследования: 1. С точки зрения качественного анализа, обобщить историю развития и состояние развития рынка корпоративных облигаций Китая .С помощью статистического описания качественно проанализировать текущее состояние его эффективности с точки зрения глубины и широты рынка корпоративных облигаций. 2. С точки зрения количественного анализа, на основе 790 ежедневных данных о ценах закрытия и 166 недельных данных о ценах закрытия и ставке доходности «Индекса корпоративных облигаций Шанхайской фондовой биржи», основанного на трех уровнях модели случайного блуждания, теста последовательной корреляции, для анализа дневных / недельных временных рядов корпоративных облигаций использовать три метода проверки прогона и проверки коэффициента дисперсии. 3. Из трех аспектов механизма рынка корпоративных облигаций, системы раскрытия информации и поведения инвесторов, выдвинуть рекомендации по политике повышения эффективности рынка корпоративных облигаций Китая., Theme of the final qualification work: «A study of the effectiveness of the Chinese corporate bond market». This article describes the level of efficiency of the corporate bond market in terms of empirical analysis of market data, which will help financial regulators to effectively understand the functioning and improvement of the market in order to formulate more realistic and targeted rules and policies. Tasks that were solved during the study: From the point of view of qualitative analysis, summarize the history of development and the development status of the Chinese corporate bond market. Using a statistical description, qualitatively analyze the current state of its effectiveness in terms of the depth and breadth of the corporate bond market. In terms of quantitative analysis, based on 790 daily data on closing prices and 166 weekly data on closing prices and the rate of return of the Shanghai Stock Exchange Corporate Bonds Index, based on three levels of the random walk model, the sequential correlation test, For analyzing daily / weekly time series of corporate bonds, three methods are used to check the run and check the dispersion coefficient. Of the three aspects of corporate bond market mechanism, disclosure system and investor behavior, make recommendations on policies to improve China 's corporate bond market efficiency.

Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors&mdash, specifically, defaults in one sector leading to credit stresses in other sectors of the economy that would not otherwise have seen stresses. To complicate matters, simple correlation-based tests for contagion are often biased, reflecting increased volatility in periods of stress. This paper uses sectoral default data from over 30 sectors to test for signs of contagion over the past 30 years. While jumps in sectoral default rates do often coincide, there is no consistent evidence of contagion across different periods of stress from unbiased test results. Instead, coincident jumps in sectoral default rates are likely to reflect common macroeconomic shocks.

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Фондовый рынок и, в частности, рынок корпоративных облигаций выступает в качестве одного из драйверов роста российской экономики. На сегодняшний день данный рынок активно развивается и существует объективная необходимость в ее исследовании. В статье приведены понятие, основные характерные черты российского рынка корпоративных облигаций, проанализированы основные показатели, характеризующие его состояние и развитие. Также по результатам проведенного анализа выявлены проблемы и перспективы развития., The stock market and, in particular, the corporate bond market is one of the drivers of growth in the Russian economy. Today, this market is actively developing and there is an objective need for its research. The article presents the concept and main characteristics of the Russian corporate bond market, analyzes the main indicators that characterize its state and development. Also, the results of the analysis revealed problems and prospects for development., Экономика и предпринимательство, Выпуск 4 (117) 2020

This paper investigates the validity of Covered Interest Rate Parity (CIP) in longdated fixed income securities. I show that common measures of CIP rely on trading strategies subject to rollover risk and credit risk, or fail to fully account for the trading costs. Hence, roundtrip CIP profit is generally not possible to reap when the trade is risk-free and all costs are taken into account. In particular, short-selling costs (haircuts and lending fees) and differences in funding spreads across currencies allow for substantial deviations from common measures of CIP without implying arbitrage opportunities. In contrast to recent research, my results lend little support to the view that stricter banking regulations have led to persistent arbitrage opportunities in long-dated fixed income markets.

The purpose of this thesis is to define which variables affect the average credit spread on the Swedish bond market. The study is conducted via the help of Enter Fonder, who contributes with data and insight into the Swedish corporate bond market. Earlier research has put a lot of weight on the connection between default risk and credit spread. The exact effect is however still debated and it is unclear which variables best describe the default risk. A multilinear regression analysis is conducted, studying the effect on the average credit spread in the NOMX-index (NOMXCRSP) with the following predictor variables: Treasury rate, Predicted EPS amongst OMXS30-companies, Change in net asset under management (AUM) of Swedish corporate bonds, The average credit spread on two European and two American counterparts to NOMX, D/E-ratio and EBITDA-margin amongst OMXS30-companies and finally PMI-index from both the industry and service sector. The regression analysis is based on 89 data points which were aggregated into an equivalent interval on a monthly basis. The final results presents a model of seven variables consisting of all the four international indexes, treasury rate, predicted EPS and change in net AUM, and was able to explain around 87% of the variance in the data. Syftet med denna avhandling är att identifiera och analysera den genomsnittliga kreditspreadens underliggande variabler på den svenska företagsobligationsmarknaden. Arbetsprocessen utförs tillsammans med fondbolaget Enter Fonder vilka bidrar med stöd i samband med datainsamlingen samt insikt om den svenska företagsobligationsmarknaden. Tidigare forskning inom ämnet har påpekat ett tydligt samband mellan ett företags likviditetsrisk och kreditspreaden på dess emitterade företagsobligationer. Likviditetsriskens exakta effekt på kreditspreaden samt hur denna risk lämpligast mäts, råder det dock oenighet om. En multipel linjär regressionsanalys genomförs där effekten på den genomsnittliga kreditspreaden i NOMX-indexet (NOMXCRSP) analyseras utifrån de underliggande variablerna: Statslåneränta, Estimerade EPS bland OMXS30-bolag, Förändringar i fondflöden på svenska företagsobligationer, Genomsnittlig kreditspread på två europeiska respektive amerikanska motsvarigheter till NOMX, D/E-ratio samt EBITDAmarginal bland OMXS30-bolag och slutligen PMI-siffror från både industri- samt tjänstesektorn. Regressionsanalysen baseras på totalt 89 datapunkter som aggregerats till likvärdig och månatlig basis. Den slutliga modellen består av totalt sju förklarande variabler där de fyra internationella indexen, Estimerad EPS, Statslåneräntan samt Förändringar i fondflöden utgör dessa och tycks förklara cirka 87 % av variansen i datasetet.

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In January 2018, the regulations Mifid 2 & Mifir were introduced, which affect the securities market and thus the corporate bond market. The purpose of the introduction of the rules was, among other things, to increase transparency in the market as it was considered lacking. Transparency affects liquidity in later turn, as lower transparency can result in reduced liquidity. The study aims to see if there has been any change in liquidity since the transparency rules were introduced. To study this, a combination of quantitative and qualitative data is used. The quantitative data consists of 141 observations and the qualitative data consists of three interviews, this to generate a deeper analysis. The results of the study suggest that liquidity is generally good in the market, however, the results also indicate a decrease in liquidity. The results of the study thus contribute to future research and discussions regarding the regulations and possible improvements to make the market more transparent and liquid. I januari år 2018 infördes regelverken Mifid 2 & Mifir, vilka berör värdepappersmarknaden och därmed företagsobligationsmarknaden. Syftet med reglernas införande var bland annat att öka transparensen på marknaden då den ansågs bristande. Transparensen påverkar i sin tur likviditeten då en lägre transparens kan resultera i att likviditeten minskar. Studien syftar tillatt se om det förekommer någon förändring i likviditeten sedan transparensreglerna infördes. För att studera detta används en kombination av kvantitativ och kvalitativ data. Kvantitativadata består av 141 observationer och kvalitativa data består av tre intervjuer, detta för attgenerera en djupare analys. Studiens resultat antyder att likviditeten generellt sett är god påmarknaden, dock indikerar även resultaten på en minskad likviditet. Resultaten i studien bidrar således till framtida forskning och diskussioner gällande regelverken och eventuella förbättringar för att marknaden ska bli mer transparent och likvid.

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two, we will enumerate the type of investors to whom these products might interesting and how to price them. Afterwards, in section three we move onto the analysis of the trading rule proposed, that is, the comparison with Corporate bonds, our benchmark, in terms of expected returns. In sections four and five, we will point out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section, we will conclude with some discussions and remark the state-of-the-art research on this field. En este artículo establecemos una comparación entre uno de los derivados financieros más negociados en los mercados, los llamados bonos catástrofe (abreviados como bonos CAT) y los bonos corporativos. En la primera sección comenzamos con una breve definición y algunos conceptos básicos. En la sección dos, enumeraremos el tipo de inversores para quienes estos productos pueden ser interesantes y cómo se podría fijar el precio. Posteriormente, en la sección tres, pasamos al análisis de la regla de negociación propuesta, es decir, la comparación con los bonos corporativos, nuestro punto de referencia, en términos de rentabilidad esperada. En las secciones cuatro y cinco señalaremos, respectivamente, algunas cuestiones clave sobre cómo se puede reducir el riesgo de crédito asociado a estos productos y, finalmente, en la última sección, concluiremos con algunas discusiones y comentaremos las investigaciones más recientes sobre este tema Universidad Pablo de Olavide

This paper evaluates the appropriateness of the standard methodology used to estimate the liquidity proxy proposed by Corwin and Schultz (2012) for the case of corporate bonds. These assets are infrequently traded, even when they are selected with activity requirements, and display great time-varying volatility during recession periods. However, the estimation of this liquidity proxy requires that the asset be traded daily continuously and that the volatility be proportional to the time interval. I propose a generalization of the original measure that allows for its practical estimation, even for non-continuous trading. The results show that this general version, estimated using information only from days with trades and discarding negative spreads, is more accurate than the standard one.

I demonstrate that investors trade U.S. corporate bonds not only for liquidity reasons but also on private information. Bond dealers let less-informed investors provide liquidity to informed traders and are not adversely selected. I obtain these results by contrasting corporate bond price reversals in bonds with different information asymmetry, trading volume, and dealers' capital commitment. I find strong price reversals that become less pronounced following high-trading-volume days. The effect is the strongest for bonds with high information asymmetry, and when dealers' end-of-day inventory does not change. The results suggest that information reveals itself in prices on high-volume days when dealers do not accept overnight inventory risk. The findings are in line with the predictions of a theoretical model in which investors trade both for liquidity reasons and on private news that arrive independently of changes in inventory. I further show that realized bid-ask spreads are not wide enough to negate reversal profits of high-asymmetry bonds. Such reversal portfolios earn 3% per year after trading cost adjustment. By connecting low market transparency with high non-fundamental price volatility, the paper also contributes to the ongoing policy debate.

I demonstrate that investors trade U.S. corporate bonds not only for liquidity reasons but also on private information. Bond dealers let less-informed investors provide liquidity to informed traders and are not adversely selected. I obtain these results by contrasting corporate bond price reversals in bonds with different information asymmetry, trading volume, and dealers' capital commitment. I find strong price reversals that become less pronounced following high-trading-volume days. The effect is the strongest for bonds with high information asymmetry, and when dealers' end-of-day inventory does not change. The results suggest that information reveals itself in prices on high-volume days when dealers do not accept overnight inventory risk. The findings are in line with the predictions of a theoretical model in which investors trade both for liquidity reasons and on private news that arrive independently of changes in inventory. I further show that realized bid-ask spreads are not wide enough to negate reversal profits of high-asymmetry bonds. Such reversal portfolios earn 3% per year after trading cost adjustment. By connecting low market transparency with high non-fundamental price volatility, the paper also contributes to the ongoing policy debate.

Over the years it has become fashionable to argue that a vibrant bond market would be vastly superior to the present bank-led model of debt finance for industries and businesses in emerging economies. While it works well in most developed economies, in countries like India, despite all efforts of the central bank and the financial markets regulators or regulatory authorities, business firms still depend largely on the banking system for their debt capital funds. This study is an attempt to enquire into whether it is the measurable parameters such as cost of funds or the buoyancy in the economy that affects the firms’ deci-sions or not. If not, it would follow that other qualitative or behavioral (or non-measurable) factors may be responsible for the lack of firms’ appetite for issuing bonds.

Purpose.The need for technological modernization of the railway industry in Ukraine, creation of favorable conditions for investment and introduction of innovations in the industry require significant financial resources. The purpose of the article is investigation of possible sources of attracting financial resources necessary for development of Ukrainian railway transport, in particular, during further organizational arrangements and procedures for the railway industry corporatization to search for ways to optimize them.Methodology.During research the methods of comparison, scientific search, analysis and synthesis were used to study the existing sources of financing for corporations abroad and at Ukrainian enterprises.Findings.Analysis of the existing and search for more efficient sources of financial resources necessary for financing Ukrainian railway transport modernization in the process of the railway industry corporatization is carried out. The growth of the financial results share in the amount of internal own resources is achieved by taking measures to increase profits. A significant part of the economic activities financing can be provided by issuing corporate bonds with the presence of positive effect of the financial leverage. Accounting of the financial leverage effect is an efficient tool for optimizing the structure of the share capital and determining the expediency of loan resources. In the process of corporatization, PJSC «Ukrzaliznytsia» should create an efficient system of financial resources that fully takes into account the specifics of its activities, motivates to increase labor productivity with the ultimate purpose of ensuring the external competitiveness of the Ukrainian railway industry.Originality.Based on the study of scientific and methodological sources, as well as the analysis of sources for financing the economic activities of railway transport, the ways of their optimization are proposed.Practical value.Introduction of the proposed approaches will make it possible to justify the economic feasibility and proportionality of internal and external sources of the railway transport financing under the conditions of corporatization.

The article analyzes the current trends of financing Russian non-financial companies, formed in the mid‑2010- is during the slowdown of the growth of the national economy, the reduction of foreign capital inflows and the introduction of anti-Russian sanctions. The purpose of the study is to analyze changes in the dynamics and structure of sources of financing of domestic companies that occurred in 2014–2017, as well as to assess possible measures to expand the availability of financial resources for them. We used general scientific methods of statistical analysis, scientific abstraction and logical generalization, as well as comparative and institutional approaches. The paper considers the dynamics and peculiarities of financing of Russian companies in 2014–2017. We established that despite the compression of foreign capital inflow that occurred in the specified period, the enterprises were able to largely compensate losses increasing borrowings from domestic banks and the corporate bond market, as well as obtaining financial support from the state in the framework of anti-crisis measures. The replacement of foreign financing with domestic sources allowed to maintain the stability of the corporate sector during the crisis period. However, today, when the economy is out of crisis and enterprises to need additional funds for business development, they face a limited supply of financial resources in the domestic market, mainly due to the sharp slowdown in the dynamics of bank lending to the real sector, observed since 2015. We conclude that in the conditions of reduction of capital imports the main reserve for increasing the availability of financial resources for the Russian enterprises is the increase of bank lending to the economy. In order to encourage it, the state should actively expand the practice of public-private partnership mechanisms in the financial and banking sector, including the provision of guarantees for loans and joint financing with banks of priority investment projects.

We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from these asset classes, and it captures many of these predictors, providing a unifying framework for return predictability. We reject a generalized version of Uncovered Interest Parity and the Expectations Hypothesis in favor of models with varying risk premia, in which carry strategies are commonly exposed to global recession, liquidity, and volatility risks, though none fully explains carry's premium.

Previous studies documented that type of investor significantly affects the performance of bonds and sukuk. These studies showed that the yield to maturity (YTM) of bonds and sukuk are significantly associated with institutional investors. This association is because institutional investors actively monitor the performance of bonds and sukuk. Apart from the type of investor, the roles played by the board of directors (BOD) in decision making significantly influence the performance of bonds and sukuk, especially the YTM. This study aims to investigate the relationship between institutional ownerships and the BOD and yield spreads of long- and medium-term corporate bonds and sukuk. Data are obtained from firm issuers’ annual reports, Bond Info Hub of Malaysia Central Bank, Department of Malaysia Statistics and Bloomberg from 2000 to 2014. The study employed unbalanced panel data approach for multivariate robust regression, OLS, fixed-effect, and random-effect models. Results revealed that the presence of top-six institutional investors and characteristics of the BOD exert a significant negative effect on the yield spreads. The findings are also consistent with the agency cost of debt theory, which suggests that long-term bonds carry a lower cost of defaults than medium-term bonds.

We examine the predilection for private bonds over bank financing (debt structure) for emerging markets within the frameworks of both transaction cost economics and a transparency explanation, emphasizing the distinction between public monitoring (bonds) and private monitoring (banks), as well as considering the influence of national culture on institutions. Employing several tests, including structural equation modeling, we find, among many results that in emerging markets bonds are preferred over bank loans when there is less corporate opacity and fewer foreign access restrictions, as well as in environment of greater political instability, transaction cost, and limits to legal protection. Bonds are also favored over banks in cultural environments of greater uncertainty avoidance, masculinity, long-term orientation, and indulgence and less individualism. Overall, we attribute our results to culture and institutional quality together influencing debt structure, particularly by impacting attitudes toward public monitoring. Our results will be of great interest to researchers interested in the legal, social, and cultural environments of emerging markets.

This study measures the announcement effect of corporate bond issuance on stock returns for companies listed on the Santiago de Chile Stock Exchange (BCS). The sample is made up of 29 firms and 87 corporate bond issuance announcements during the 2010-2017 period. The announcement effect of corporate bond issuance on stock return is measured by an event study. This methodology allows to calculate abnormal returns for the days of the event period. The results show that the average abnormal return on the day of the announcement is negative (between -0.09% and -0.03%), but it is not statistically significant. However, the average abnormal return on the day after the announcement is positive (between 0.27% and 0.32%) and has statistical significance. The significant and positive average abnormal return on the day after the announcement suggests a late market reaction. The study shows that there is a significant signaling effect of bond issuance announcements on stock returns. Resumen El propósito de este estudio es medir el efecto del anuncio de una emisión de bonos corporativos sobre los retornos accionarios de las empresas que cotizan en la Bolsa de Comercio de Santiago de Chile (BCS). La muestra está compuesta por 29 empresas que realizaron 87 anuncios de emisión de bonos corporativos durante el período 2010-2017. El efecto del anuncio de emisión de bonos sobre el retorno de la acción se mide mediante un estudio de eventos. Esta metodología permite calcular los retornos anormales de las acciones en el día del evento (el día del anuncio) y alrededor de ese día. Los resultados muestran que el retorno anormal promedio en el día del anuncio es negativo (entre -0,09% y -0,03%), pero no significativo. Sin embargo, el retorno anormal promedio en el día siguiente al anuncio es positivo (entre 0,27% y 0,32%) y significativo. El retorno anormal promedio positivo y significativo del día posterior al anuncio sugiere una reacción tardía del mercado. El estudio evidencia que hay un efecto de señalización significativo de los anuncios de emisión de bonos sobre los retornos de las acciones.

This paper examines the change in the regulatory use of multiple credit ratings after the Dodd-Frank Act (Dodd-Frank). We find that post Dodd-Frank reform, firms are less likely to demand a third rating (typically from Fitch) for ratings near the high yield (HY) - investment grade (IG) boundary to support their new corporate bond issues. Third ratings also become less informative post Dodd-Frank, with a much weaker market impact on credit spreads for firms with S&P and Moody's ratings on opposite sides of the HY-IG rating boundary. We provide new evidence on the effect of Dodd-Frank in curbing corporate borrowers’ strategic use of multiple credit ratings near this boundary.

This study examines the impact of corporate social performance (CSP) on the spreads and credit ratings of corporate bonds on a global scale. The relationship is examined within the national legal and institutional environment and with regard to specific stakeholder practices. We construct and use a unique longitudinal, international dataset with a total of 5280 bond issues dating from 2003 to 2018 and spanning 40 countries worldwide. We provide evidence that more responsible firms benefit from lower bond spreads and improved bond ratings, while a higher degree of CSR-related controversies penalizes firms on both dimensions. Various, but not all, stakeholder relationships appear to generate a significant impact on spreads and bond ratings, with shareholders remaining crucial in both civil and common law countries, opposite to literature findings so far. Corporate governance is corroborated as a primary concern also in the debt market for common law economies, while societal stakeholders assume significance for civil law systems. Finally, findings highlight that stronger regulation and government involvement do not further promote the role of CSP in the debt market. On the other hand, free public criticism and media scrutiny generate a more pronounced effect of CSP on bond pricing providing support for the rewards associated with voluntary and proactive CSR.

We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the issuer resulting in lower direct issuance costs and lower underpricing. However, if the underwriter becomes distressed, this spills over to the issuer's credit risk, because it weakens the relationship and increases the risk of involuntary relationship termination. The credit risk spillover is more pronounced for risky, information-sensitive issuers with high rollover exposure, i.e., those issuers most in need of certification by an underwriter.

We study the effects of a conventional monetary expansion, quantitative easing, and the maturity extension program on corporate bond yields using impulse response functions obtained from flexible models with regimes. Using a three-state Markov switching model with time-homogeneous vector autoregressive (VAR) coefficients that emerges from a systematic model specification search, we find that unconventional policies may have been generally expected to decrease both corporate yields and spreads. However, even though the sign of the responses is the one desired by policymakers, the size of the estimated effects depends on the assumptions regarding the decline in long-term Treasury yields caused by unconventional policies, on which considerable uncertainty remains. Further tests based on yield spreads and a variable that measures inflation expectations show that, in the crisis regime, unconventional monetary policies do not produce any perverse effects on expected inflation. These results prove robust to adopting a framework that allows VAR coefficients to break, to imposing coefficient restrictions that increase parsimony, and to a range of different ordering schemes that identify shocks in alternative ways.

We have analyzed the institutional determinants of local currency (LCY) corporate bond markets development during the period of 2010–2016 on a cross–country sample. We have considered a wide range of indicators of the quality of the institutional environment including the Heritage Foundation's Index of Economic Freedom, the World Bank’s indicators of the development of political and legal institutions, the World Economic Forum’s indicators of corporate culture, the development and regulation of financial markets. Unlike most previous studies, we have tested not only static regression models (multifactor linear regressions) but also dynamic models based on the generalized method of moments (GMM), which allows to solve the problem of endogeneity of variables. The sample consists of 420 quarterly observations on 15 emerging markets, which were the leaders by the issuance volume of corporate bonds in the pre–crisis 2013. The results show that the low quality of institutional environment as well as macroeconomic and financial instability stimulate the growth of the share of LCY corporate bonds in the total issuance volume. In the periods of instability, local currency corporate bonds become less attractive for foreign investors, therefore, issuers are forced to raise capital in the domestic market, i.e. to realize the import substitution of capital. We rank factors by the significance of their influence on the explained variable. The most significant factors in both static and dynamic model specifications are the World Bank’s indicators of regulatory quality and rule of law. A decline in sovereign credit ratings also gives impetus to the development of LCY corporate bond markets. The results of our research show that more developed stock markets suppress the growth of LCY corporate bond markets: equity corporate bonds are competing financing sources for companies from developing countries. On the contrary, a developed banking sector contributes to the growth of the LCY corporate bond market: banks act as dealers and market makers. The devaluation of the national currency has the most significant positive influence on the explained variable among other macroeconomic factors, that is due to an increase in the cost of debt denominated in foreign currency.

We use an asset pricing approach to compare the effects of the liquidity level and liquidity risk on expected U.S. corporate bond returns. Using signed transaction data, we estimate effective transaction costs for bond portfolios by a repeat-sales method. We find that the liquidity level and exposure to equity market liquidity risk affect expected bond returns. In contrast, exposure to corporate bond liquidity shocks carries an economically negligible risk premium. A simulation study shows that it is unlikely that our results are driven by measurement error in betas or multicollinearity. We present a simple theoretical model that explains these findings.

U ovome je radu promatrano financiranje poslovanja korporacijskim obveznicama u javnome sektoru. Najprije je objašnjeno što je to uopće javni sektor te koje su mogućnosti financiranja javnoga sektora. Nakon toga je prikazan hrvatski javni sektor te su obrađeni pojmovi javnih prihoda, javnih rashoda i javnoga duga. Zatim su dane definicije obveznica te je prikazana podjela obveznica prema izdavatelju, pri čemu su posebno promatrane korporacijske obveznice. Korporacijske obveznice su obveznice koje izdaju velike korporacije, odnosno tvrtke, a obično ih izdaju na dulje vremensko razdoblje. Dijele se na osigurane, neosigurane i špekulativne, a svaka se od ovih vrsta dijeli na manje grupe, specifične prema određenim obilježjima. U idućem je koraku promatran utjecaj financiranja obveznicama na likvidnost poduzeća. Naime, u tome smislu likvidnost je sposobnost poduzeća da podmiri sve svoje tekuće troškove, odnosno dospjele obveze. Jedan od osnovnih ciljeva obveznica je posuditi novac poduzeću koje ima potrebu za gotovim novcem, tj. obveznice služe kao kredit. Nadalje, prikazani su načini financiranja javnoga sektora u Republici Hrvatskoj, istaknuti su osnovni izvori financiranja te osnovni izvori zaduživanja. Naposljetku su prikazani primjeri korporativno-društvenih partnerstva. Cilj ovoga rada je teorijski prikazati korporacijske obveznice te navesti primjere financiranja korporacijskim obveznicama u javnome sektoru kako bi se istaknule pozitivne te negativne strane ovoga načina financiranja. Svrha rada je prikazati da su korporativno-društvena partnerstva moguća. This paper deals with the financing of corporate bonds in the public sector. First it was explained what the public sector is, and what are the public sector funding opportunities. After that, the Croatian public sector was presented and the concepts of public revenues, public expenditures and public debt were processed. Then there are the definitions of the bonds and the breakdown of bonds to the issuer is shown, with specially observed corporate bonds. Corporate bonds are bonds issued by large corporations or companies and are usually issued for a longer period of time. They are secured, uninsured, and speculative, and each of these types is divided into smaller groups, specific to certain characteristics. In the next step, the impact of financing the bonds on liquidity of the company is observed. Namely, in this sense, liquidity is the ability of an enterprise to settle all its current costs, ie due liabilities. One of the basic goals of bonds is to lend money to a company that has the need for cash, ie bonds serve as a loan. Furthermore, the ways of financing the public sector in the Republic of Croatia are outlined, the main sources of funding and the main sources of borrowing are highlighted. Finally, examples of corporate social partnerships are presented. The aim of this paper is to present theoretically corporate bonds and provide examples of financing corporate bonds in the public sector to highlight the positive and negative side of this mode of financing. The purpose of the paper is to show that corporate-social partnerships are possible.

Este trabajo se centra en medir y analizar la liquidez en el mercado de bonos corporativos en Colombia. Utilizando datos diarios entre 2009 a 2017, se encontró que el mercado presenta diferencias a través de plazos de madurez siendo más líquidos los bonos de mediano y largo plazo, así como también se observa una preferencia por los bonos más recientemente emitidos. Adicionalmente, se observa que el mercado en general fue más ilíquido entre 2009-2010 durante el recrudecimiento de la crisis financiera y 2016. Finalmente, los resultados sugieren que la iliquidez está siendo valorada en el mercado (JEL G120). Abstract: This paper focuses on measuring and analyzing liquidity in the corporate bond market in Colombia. Using daily data between 2009 and 2017, it was found that the market presents differences through maturity periods with medium and long-term bonds being more liquid, as well as a preference for the bonds most recently issued. In addition, it is observed that the market in general was more illiquid between 2009-2010 during the intensification of the financial crisis and 2016. Finally, the results suggest that illiquidity is being valued in the market (JEL G120). Maestría

Emerging market corporations have significantly increased their borrowing in international markets since 2008. This paper shows that this increase was driven by large-denomination bond issuances, most of them with face value of US$500 million. Large issuances are eligible for inclusion in international market indexes, which attract institutional investors. Emerging market firms were able to cut their cost of funds by roughly 100 basis points by issuing large-denomination bonds. Firms face a tradeoff: issue large, index-eligible bonds to borrow at a lower cost (about 100 basis points) but pay the expense of hoarding cash. Because of the "size yield discount," many companies issued index-eligible bonds, increasing their cash holdings. The willingness to issue large bonds and hoard cash was greater for firms in countries with high carry trade opportunities. These post-2008 behaviors reflected a search for yield by institutional investors into higher-risk securities and are not apparent in developed economies.

We conduct in-sample and out-of-sample forecasting using the new approach of combining explanatory variables through complete subset regressions (CSR). We predict bond CAPM betas and bond returns conditioning on various macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high-yield corporate bonds. The CSR method performs well in predicting bond betas, especially in-sample, and, mainly high-yield bond betas when the focus is out-of-sample. Bond returns are less predictable than bond betas.

In August 2016, the Bank of England (BoE) announced a Corporate Bond Purchase Scheme (CBPS) to purchase up to $10bn of sterling corporate bonds. To investigate the impact of these purchases on liquidity, we create a novel dataset that combines transaction-level data from the secondary corporate bond market with proprietary offer-level data from the BoE's CBPS auctions. Identifying the impact of central bank asset purchases on liquidity is potentially impacted by reverse causality, because liquidity considerations might impact purchases. But the offer-level data allow us to construct proxy measures for the BoE's demand for bonds and auction participants' supply of bonds, meaning that we can control for the impact of liquidity on purchases. Across a range of liquidity measures, we find that CBPS purchases improved the liquidity of purchased bonds.

During the past decades, firms from emerging economies have significantly increased the amount of financing obtained in capital markets. Whereas the literature argues that international markets have been an important contributor to this process, the role of domestic markets is mostly unknown. By examining the case of East Asia, this paper shows that domestic markets have been a key driver of the observed trends in capital market financing since the early 2000s. As domestic markets developed, more and smaller firms gained access to equity and corporate bond financing. Domestic markets also helped some corporations to diversify funding sources and obtain domestic currency financing. Policy reforms following the Asian Financial Crisis accompanied the growth of domestic markets. Part of the reforms were aimed at developing domestic capital markets for small and medium-size enterprises. Although these markets have developed significantly, they still serve relatively few corporations, albeit from new sectors.

Dissertação de mestrado em Economia Monetária, Bancária e Financeira, A estrutura de financiamento das economias advém do seu grau de desenvolvimento bem como de fatores associados à globalização económica e financeira. A Zona Euro é predominantemente bank-based, apesar do mercado de capitais assumir uma importância crescente como fonte alternativa de financiamento. Este mercado diversifica e amplia os volumes de investimento, promovendo a expansão das atividades empresariais, quer em contexto doméstico, quer internacional. Desta forma, permite o acesso a maiores fluxos de liquidez e a menor custo, fatores fundamentais na resposta ao acréscimo da competitividade dos mercados. Adicionalmente, o mercado de capitais tem vindo a ser fomentado como fonte alternativa de financiamento em resposta à dinâmica económica europeia e da economia global. Este estudo tem como principal objetivo explicar as fontes de financiamento mais relevantes para o crescimento económico. Este permite aferir que o financiamento bancário contribui negativamente para o desempenho da atividade económica quando considerada a variável novos créditos, bem como e o seu valor acumulado. Contudo, este facto, por si só, não permite concluir que o mercado de capitais substitua crescentemente o papel tradicional da banca. Metodologicamente, é utilizado um Modelo Autorregressivo de Desfasamentos Distribuídos (ARDL), em que a sua estimação consiste em verificar se existe preponderância dos ativos de mercado em detrimento da banca, na dinamização do crescimento económico., The financing structure of economies comes from their degree of development as well as factors connected with economic and financial globalization. The Eurozone is predominantly bank-based, although capital markets are becoming increasingly important as an alternative source of financing. This market changes and expands investment volumes, promoting the expansion of business activities, both domestically and internationally. Therefore, it allows access to higher liquidity flows and lower costs, which are key factors in responding to increased market competitiveness. Moreover, the capital market has been fostered as an alternative source of financing in response to European economic dynamics and the global economy. This study aims to explain the most relevant sources of finance for economic growth. This allows us to verify that bank financing contributes negatively to the performance of economic activity when considering the variable new loans, as well as their accumulated value. However, this fact itself does not allow to conclude that the capital market increasingly replaces the traditional role of banking. Methodologically, we used an autoregressive Distributed Offset Model (ARDL), since its estimation is based in verify whether there is a preponderance of market assets, rather than banking, in boosting economic growth.

This dissertation focuses on institutional investors in corporate bond markets and their impacts on the underlying corporate bonds. The dissertation is composed of three chapters. The first chapter studies how information networks of corporate bond mutual funds may be constructed. It highlights how information flow between corporate bond mutual funds affects fund performance, herding behaviors, and the underlying corporate bond market. By examining the trading behavior of corporate bond mutual funds, I show that bond funds in more central positions of a trading network have an informational advantage that results in 0.33% higher future fund risk-adjusted return. This positive relationship becomes stronger during periods of high market uncertainty and for bond funds with more liquid assets as they can respond to the information signal with a lower asset reallocation cost. I further show that manager turnover, ranking pressure, and fund flow fluctuation drive within-fund time varying changes in network centrality. The second chapter exploits the influence of information networks of corporate bond mutual funds on their underlying corporate bonds. I show that corporate bonds owned by highly network-central bond funds increase underlying liquidity, leading to a 3.5% decrease in future bid/ask spreads and a lower Amihud illiquidity measure. This is hypothesized to occur due to increased information efficiency, which allows for more bond specific information to be reflected in the price, and intensified herding behavior. Moreover, I construct a network to represent herding behavior by following the same trades across quarters. A 0.3% decrease in risk-adjusted fund return is found for bond funds that have the strongest herding behavior. The third chapter studies how corporate bond exchange-traded funds (ETF) impact the underlying corporate bond return comovement and how it relates to trading and arbitrage activities of corporate bond ETFs. The literature is silence about the effect of corporate bond ETFs on the comovement of underlying bond securities. This chapter aims to fill this gap by providing the first empirical evidence of bond return comovement driven by bond ETFs ownership. I find that bond ownership by corporate bond ETFs leads to higher bond return comovement, an increase of 0.26 in the beta of corporate bond return with respect to the aggregate bond portfolio. In contrast, bond ownership by other traditional institutional investors in the corporate bond market like bond mutual funds and insurance companies do not contribute to corporate bond return comovement. Furthermore, this chapter highlights that return comovement is driven by corporate bond ETFs’ creation and redemption activities.

We examine the factors that influence nonfinancial firms’ choice of issuing standard corporate bonds vis-à-vis contracting structured finance transactions, in the form of project finance or asset securitization deals. Using a data set of deals closed by 4,700 European borrowers between 2000 and 2016, we find that informational and agency problems, and issuance costs, affect public firms’ borrowing source choices. Findings also suggest that firms choose structured finance borrowings when they are less profitable and have lower asset tangibility. Our findings document that transaction cost considerations lead firms that use both structured finance and corporate bond deals during our sampling period, to choose structured finance for new borrowings. Additionally, firms resorting to project finance are less creditworthy than corporate bond issuers are and, on average, asset securitization deals have a funding cost advantage of 87.6 basis points over corporate bond deals.

Productive firms can access credit markets directly by issuing corporate bonds or by borrowing through financial intermediaries. In this paper, we study the cyclical properties of corporate credit provision through these two types of debt instruments in major advanced economies. We argue that the cyclicality of corporate credit is closely related to the cyclicality of the types of financial intermediaries active in the provision of credit. When a debt instrument is held by institutions that manage their balance sheets through debt issuance, credit provision through that instrument is procyclical. But when a debt instrument is held by institutions that manage their balance sheets through equity issuance, credit provision through that instrument is countercyclical. We show that cross-country differences in the cyclicality of corporate credit can be ascribed to differences in the composition of the aggregate financial sector, and not to differences in the balance sheet management practices of each type of financial intermediary.

Цель работы - раскрыть роль корпоративных облигаций в качестве механизма привлечения финансовых ресурсов, а также оценить эффективность их выпуска. Объектом для исследования в работе выступит Общество с ограниченной ответственностью «Легенда». Для достижения цели работы рассмотрена сущность финансовых ресурсов, дано авторское понятие. Проанализированы особенности эмиссии корпоративных облигаций. Определено место корпоративных облигаций в структуре финансовых ресурсов. Проанализировано современное состояние российского долгового рынка в целом, и его корпоративного сектора, в частности. Изучена специфика корпоративного облигационного рынка и выявлены основные тенденции его современного развития на фоне общих мировых тенденций. Выявлены преимущества и оценены перспективы привлечения ресурсов корпоративными облигациями. Исследованы подходы к оценке эффективности выпуска корпоративных облигаций. Описаны процедуры оценки первичного публичного размещения ценных бумаг на основе цены размещения. Рассчитана цена привлечения заемных средств путем эмиссии корпоративных облигаций. Основные методы, используемые в работе: финансовое прогнозирование, регрессионный анализ, построение гипотез, среди общенаучных – анализ и синтез, индукция и дедукция, сравнительный анализ и аналогия. Результатом проведенной работы является обоснование эффективности привлечения финансовых ресурсов через корпоративные облигации., The purpose of the work is to reveal the role of corporate bonds as a mechanism for attracting financial resources as well as to assess the effectiveness of their issuance. The object of the research is a Limited liability company Legenda. To achieve the goal of the work the essence of financial resources is considered, the author's concept is given. The article analyses the peculiarities of issuance of corporate bonds. The place of corporate bonds in structure of financial resources is determined. The current state of the Russian long market in general, and its corporate sector, in particular, is analyzed. The specifics of the corporate bonded market are studied and main trends of its modern development against the background of the general global trends are revealed. Advantages are revealed and the prospects of attraction of resources by corporate bonds are estimated. Approaches to assessment of effectiveness of issue of corporate bonds are investigated. Assessment procedures of IPO of securities by the placement price are described. The price of attraction of borrowed funds by issue of corporate bonds is calculated. The main methods used in work: financial forecasting, the regression analysis, creation of hypotheses, among general scientific - the analysis and synthesis, induction and deduction, comparative analysis and analogy. Justification of efficiency of attraction financial resources by corporate bonds is result of the carried-out work.