A computer program, 3DBVSMAPPER, was developed to generate bond‐valence sum maps and bond‐valence energy landscapes with minimal user intervention. The program is designed to calculate the spatial ...distributions of bond‐valence values on three‐dimensional grids, and to identify infinitely connected isosurfaces in these spatial distributions for a given bond‐valence mismatch or energy threshold and extract their volume and surface area characteristics. It is implemented in the Perl scripting language embedded in Accelrys Materials Studio and has the capacity to process automatically an unlimited number of materials using crystallographic information files as input.
We offer empirical evidence that size, low-risk, value, and momentum factor portfolios generate economically meaningful and statistically significant alphas in the corporate bond market. Because the ...correlations between the single-factor portfolios are low, a combined multi-factor portfolio benefits from diversification among the factors: It has a lower tracking error and a higher information ratio than the individual factors. Our results are robust to transaction costs, alternative factor definitions, alternative portfolio construction settings, and constructing factor portfolios on a subsample of liquid bonds. Finally, allocating to corporate bond factors provides added value beyond allocating to equity factors in a multi-asset context.
This paper investigates how dealers’ trading relations shape their trading behavior in the corporate bond market. Dealers charge lower spreads to dealers with whom they have the strongest ties and ...more so during periods of market turmoil. Systemically important dealers exploit their connections at the expense of peripheral dealers as well as clients, charging higher markups than to other core dealers. Also, intermediation chains lengthened by 20% following the collapse of a flagship dealer in 2008 and even more for institutions strongly connected to this dealer. Finally, dealers drastically reduced their inventory during the crisis.
I study the information content of bond ratings changes using daily corporate bond data from TRACE. Abnormal bond returns over a two-day event window that includes the downgrade (upgrade) are ...negative (positive) and statistically significant, although the reaction to upgrades is economically small. Monthly abnormal bond returns around downgrades and upgrades are statistically significant but overstate the magnitude of the reaction relative to two-day abnormal returns. Unlike the bond market, the stock market reaction to upgrades is statistically insignificant. Evidence suggests that the differing inferences on the effect of upgrades in the two markets can be attributed to wealth transfer effects rather than relative market inefficiencies. In the cross-section, the bond market response is stronger for rating changes that appear more surprising, rating changes of lower rated firms, and upgrades that move the firm from speculative grade to investment grade.
Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed trading in corporate bonds and its ability to predict corporate defaults. We ...find that microstructure measures of information asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Furthermore, information asymmetry can help forecast corporate defaults after conditioning on other default prediction variables. Such forecasting ability of informed bond trading is especially useful for private firms because the bond market constitutes the only venue for informed traders to exploit their information advantages.
This paper was accepted by Wei Xiong, finance.
Macro Factors in Bond Risk Premia Ludvigson, Sydney C.; Ng, Serena
The Review of financial studies,
12/2009, Volume:
22, Issue:
12
Journal Article
Peer reviewed
Open access
Are there important cyclical fluctuations in bond market premiums and, if so, with what macroeconomic aggregates do these premiums vary? We use the methodology of dynamic factor analysis for large ...datasets to investigate possible empirical linkages between forecastable variation in excess bond returns and macroeconomic fundamentals. We find that "real" and "inflation" factors have important forecasting power for future excess returns on U. S. government bonds, above and beyond the predictive power contained in forward rates and yield spreads. This behavior is ruled out by commonly employed affine term structure models where the forecastability of bond returns and bond yields is completely summarized by the cross-section of yields or forward rates. An important implication of these findings is that the cyclical behavior of estimated risk premia in both returns and long-term yields depends importantly on whether the information in macroeconomic factors is included in forecasts of excess bond returns. Without the macro factors, risk premia appear virtually acyclical, whereas with the estimated factors risk premia have a marked countercyclical component, consistent with theories that imply investors must be compensated for risks associated with macroeconomic activity.
High-yield bond and energy markets Gormus, Alper; Nazlioglu, Saban; Soytas, Ugur
Energy economics,
January 2018, 2018-01-00, 20180101, Volume:
69
Journal Article
Peer reviewed
High-yield bonds hold a particularly unique space in the debt market. From many aspects, literature suggests these assets to behave more like stocks than bonds. Given the significant similarities ...between the high-yield bond and stock markets, it is expected for these markets to be similarly affected by certain outside factors. Some shocks, including the ones from energy markets, are known to impact the entire stock market and not just related company shares. Since high-yield bond portfolios include some amount of energy company debt, the recent volatility in energy prices has been particularly concerning to market participants. However, the question of whether price and volatility shocks only impact energy company bonds or the entire high-yield bond market - as they do with the stock market - still remains unanswered. This study attempts to address that question by exploring the dynamic relationships between the high-yield bond and energy markets. Price transmission tests, which account for gradual structural shifts, suggest oil and ethanol markets significantly impacting the high-yield bond market. Furthermore, volatility tests find uni-directional volatility transmitting from energy markets to the high-yield bond market.
•We investigate the impacts of energy markets on the high-yield bond market•We test both the price-transmission and volatility transmission aspects of the interactions•Our new price-transmission test incorporates a gradual structural shift component•Energy markets are found to impact the entire high-yield bond market from both price and volatility perspectives
The Anatomy of the CDS Market Oehmke, Martin; Zawadowski, Adam
The Review of financial studies,
01/2017, Volume:
30, Issue:
1
Journal Article
Peer reviewed
Open access
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as "alternative trading venues" serving a standardization and ...liquidity role. CDS positions and trading volume are larger for firms with bonds fragmented into many separate issues and with heterogeneous contractual terms. Whereas hedging motives are associated with trading volume in the bond and CDS markets, speculative trading concentrates in the CDS. Cross-market arbitrage links the CDS and bond market via the basis trade, compressing the negative CDS-bond basis and reducing price impact in the bond market.
A catalytic system‐controlled divergent reaction strategy was here reported to construct four types of intriguing spiroheterocyclic skeletons from simple and readily available starting materials via ...a precise chemical bond activation/n+1 annulation cascade. The tetraazaspiroheterocyclic and trizazspiroheterocyclic scaffolds could be independently constructed by a selective N−N bond activation/n+1 annulation cascade, a C(sp2)‐H activation/4+1 annulation and a novel tandem C(sp2)‐H/C(sp3)−H bond activation/4+1 annulation strategy, along with a broad scope of substrates, moderate to excellent yields and valuable transformations. More importantly, in these transformations, we are the first time to capture a N−N bond activation and a C(sp3)−H bond activation of pyrazolidinones under different catalytic system.
Four types of novel and complicated spiropyrazolones from pyrazolidinones and diazopyrazolones were constructed via a precise chemical bond activation/n+1 annulation route, especially a selective N−N bond activation/n+1 annulation cascade and a novel tandem C(sp2)−H/C(sp3)−H bond activation/4+1 annulation strategy, and diazopyrazolones acted as unexpected 1C synthons.
Sub-Saharan Africa's economic recovery is well under way, although among country groups there is variation in the speed of the recovery. In most of the region's low-income countries and among the ...seven oil exporters growth is almost back to precrisis levels. However, in the region's middle-income countries, including South Africa, the recovery has been more gradual. This Regional Economic Outlook describes the impact of recent economic developments---sharp increases in food and fuel prices will need fiscal interventions targeting the poor, while higher oil prices will be a boon to some countries and adversely affect others. Policy adjustments are needed to move away from the supportive stance of the last few years but should be balanced against the need to alleviate the impact of rising food prices on poor households.
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