Factors affecting the yields on noninvestment grade bond indices: A cointegration analysis

Journal of Empirical Finance

Volumn 7, Issue 1, 2000, Pages 57-86

  Barnhill Jr , Theodore M ^a   Joutz, Frederick L ^a   Maxwell, William F ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b TEXAS TECH UNIVERSITY   (United States)

Author keywords

C31; C52; Cointegration; G10; High yield; Market segmentation; Noninvestment grade; Yield spread

Indexed keywords

EID: 0002433959     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(99)00016-X     Document Type: Article

References (37)

1. Altman E. Measuring corporate bond mortality. Journal of Finance. 44:1989;909-922.
2. Altman E., Bencivenga J. A yield premium model for the high-yield debt market. Financial Analysts Journal. 51:1995;49-56.
3. Black F., Cox J. Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance. 31:1976;351-367.
4. Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy. 81:1973;637-654.
5. Boardman C., McEnally R. Factors affecting seasoned corporate bond prices. Journal of Financial and Quantitative Analysis. 16:1981;207-226.
6. Bookstaber R., Jacob D. The composite hedge: controlling the credit risk of high-yield bonds. Financial Analysts Journal. 42:1986;25-35.
7. Carty, L., Lieberman, D., 1996. Corporate bond defaults and default rates 1938-1995. Moody's Investors Service - Special Report, January.
8. Chang E., Huang R. Time-varying return and risk in the corporate bond market. Journal of Financial and Quantitative Analysis. 25:1990;323-340.
9. Chang E., Pinegar M. Return seasonality and tax-loss selling in the market for long-term government and corporate bonds. Journal of Financial Economics. 86:1986;391-415.
10. Chang E., Pinegar M. A fundamental study of the seasonal risk-return relationship: a note. Journal of Finance. 43:1988;1035-1039.
11. Cooper R., Shulman J. The year-end effect in junk bond prices. Financial Analysts Journal. 50:1994;61-65.
12. Cornell B. Liquidity and the pricing of low-grade bonds. Financial Analysts Journal. 48:1992;63-67.
13. DeRosa-Farag, S., 1996. 1995 high yield market review. Chase Securities, New York.
14. Ederington L., Yawitz J., Roberts B. The informational content of bond ratings. Journal of Financial Research. 10:1987;211-226.
15. Enders, W., 1995. Applied Econometric Time Series. Wiley, New York.
16. Engle R., Granger C. Cointegration and error-correction: Representation, estimation, and testing. Econometrica. 55:1987;251-276.
17. Fama F., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33:1993;3-56.
18. Fisher L. Determinants of risk premiums on corporate bonds. Journal of Political Economy. 67:1959;217-237.
19. Fons J. The default premium and corporate bond experience. Journal of Finance. 42:1987;81-97.
20. Fridson, M., 1995. Seniors yield more than like rated subs!, Extra Credit 4, July-August, 4-17.
21. Fridson, M., Garman, C., 1995. January effect: Probably not a function of coupon flows. This Week in High Yield 47, December, 1-3.
22. Fridson M., Jonsson J. Spread versus Treasuries and the riskiness of high-yield bonds. Journal of Fixed Income. 5:1995;79-88.
23. Garman, C., Fridson, M., 1996. Monetary influences on the high yield spread versus treasuries. Extra Credit 4, July-August, 13-26.
24. Granger C., Newbold P. Spurious regressions in econometrics. Journal of Econometrics. 4:1974;111-120.
25. Hendry, D., 1995. Dynamic Econometrics. Oxford Univ. Press, Oxford.
26. Hettenhouse G., Sartoris W. An analysis of the informational value of bond-rating changes. Quarterly Review of Economics and Business. 16:1976;65-78.
27. Johansen S. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control. 12:1988;231-254.
28. Johansen S. Estimation and hypothesis testing of cointegrating vectors in gaussian vector autoregressive models. Econometrica. 59:1991;1551-1580.
29. Lakonishok J., Shleifer A., Thaler R., Vishny R. Window dressing by pension fund managers. American Economic Review. 81:1991;227-231.
30. Maxwell W. The January effect in the corporate bond market: a systematic examination. Financial Management. 27:1998;18-30.
31. Phillips P. Understanding spurious regressions. Journal of Econometrics. 33:1986;311-340.
32. Ramaswami M. Hedging the equity risk of high-yield bonds. Financial Analysts Journal. 47:1991;41-50.
33. Shane H. Comovements of low-grade debt and equity returns of highly leveraged firms. Journal of Fixed Income. 3:1994;79-89.
34. Silvers J.B. An alternative to the yield spread as a measure of risk. Journal of Finance. 28:1973;933-955.
35. Smith C., Warner J. On financial contracting: An analysis of bond covenants. Journal of Financial Economics. 7:1979;117-161.
36. Wansley J., Terrence C. The impact of creditwatch placement on equity returns and bond prices. Journal of Financial Research. 8:1985;31-42.
37. Warther V. Aggregate mutual fund flow and security returns. Journal of Financial Economics. 39:1995;209-235.