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This study addresses interest rate sensitivity of emerging market corporate debt. Previous research suggests that interest rate sensitivity of corporate bonds depends on residual maturity of issues, creditworthiness of issuers, embedded options and other idiosyncratic factors. However, the dependence of interest rate sensitivity on phases of the business cycle has not received an appropriate academic attention. This paper provides empirical evidence and theoretical interpretation of a dichotomy of interest rate sensitivity across the phases of the cycle, and sheds light on how credit spreads respond to interest rates. The historical span of the research covers the period of 2004–2016. The findings imply that hedging interest rate risk ought to be a dynamic process and take into consideration where the economy is positioned in the current business cycle. This research provides important insights on the nature of interest rate sensitivity, capable of enhancing financial stability and improving efficiency of financial system. [ABSTRACT FROM AUTHOR]

This paper proposes a defaultable bonds pricing model extending the traditional spread process definition. The posited model is able to incorporate any potential cyclical, non-linear, or long-term process not fully captured by the stochastic behavior of the spot rate and the instantaneous default rate process. Under this framework, we analyze the empirical ability of our model to capture the spread dynamics of three different Investment-grade US Corporate bonds indexes. Our findings show that when compared to the Benchmark, our model improves the empirical performance reducing the yield spread mispricing by 35%, 37%, and 29% for the High grade, Upper medium grade, and Lower medium grade index, respectively. [ABSTRACT FROM AUTHOR]

This paper highlights the role of behavioral factors for efficiency measurement in supply networks. To this aim, behavioral issues are investigated among interrelations between decision makers involved in corporate bond service networks. The corporate bond network was considered in three consecutive stages, where each stage represents the relations between two members of the network: issuer-underwriter, underwriter-bank, and bank-investor. Adopting a multi-method approach, we collected behavioral data by conducting semi-structured interviews and applying the critical incident technique. Financial and behavioral data, collected from each stage in 20 corporate bond networks, were analyzed using fuzzy network data envelopment analysis to obtain overall and stage-wise efficiency scores for each network. Sensitivity analyzes of the findings revealed inefficiencies in the relations between underwriters-issuers, banks-underwriters, and banks-investors stemming from certain behavioral factors. The results show that incorporating behavioral factors provides a better means of efficiency measurement in supply networks. [ABSTRACT FROM AUTHOR]

This paper exploits the implied information of data collected from credit spreads of Chinese corporate bonds and systemic and idiosyncratic risk factors. We compute contribution of risk factors to credit spreads of Chinese corporate bonds by establishing the unbalanced panel data model, identify the key factors impacting the size of credit spreads of corporate bonds. Knowledge extracted by data mining is helpful to investors for reasonable pricing of bonds and making rational investment decisions. When selecting variables, the unbalanced panel data model is used to calculate the Zero-volatility credit spreads, which are more accurate. We use term structure adjusted return of bond index as the systemic risk factor of corporate bond market, the three Fama/French systemic factors as the systemic risk factors of stock markets and idiosyncratic stock/bond volatility and idiosyncratic bond value-at-risk as the idiosyncratic risk factors. Empirical analysis of corporate bonds sampling China's listing Corporation issued and traded on Shanghai Stock Exchange from 2008 to 2011 shows that the size of credit spreads is mainly determined by the systemic risk factors of bond market, i.e. risk factors of stock market make very little contribution to the spread; the idiosyncratic risk factors also contribute. An interesting phenomenon is that we find that the relationship between idiosyncratic stock volatility and credit spread is negative, which is contrary to extant research while the relationship is positive and mainly focuses on impact of risk factors on credit spread of corporate bond. [ABSTRACT FROM AUTHOR]