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.
Quantum chemical methods were employed to analyze the nature and the origin of the directionality of pnictogen (PnB), chalcogen (ChB), and halogen bonds (XB) in archetypal FmZ⋅⋅⋅F− complexes (Z=Pn, ...Ch, X), using relativistic density functional theory (DFT) at ZORA‐M06/QZ4P. Quantitative Kohn‐Sham MO and energy decomposition analyses (EDA) show that all these intermolecular interactions have in common that covalence, that is, HOMO−LUMO interactions, provide a crucial contribution to the bond energy, besides electrostatic attraction. Strikingly, all these bonds are directional (i.e., F−Z⋅⋅⋅F− is approximately linear) despite, and not because of, the electrostatic interactions which, in fact, favor bending. This constitutes a breakdown of the σ‐hole model. It was shown how the σ‐hole model fails by neglecting both, the essential physics behind the electrostatic interaction and that behind the directionality of electron‐rich intermolecular interactions. Our findings are general and extend to the neutral, weaker ClI⋅⋅⋅NH3, HClTe⋅⋅⋅NH3, and H2ClSb⋅⋅⋅NH3 complexes.
There is a hole in the model! The directionality of intermolecular pnictogen, chalcogen, and halogen bonds comes forth from minimizing closed‐shell Pauli repulsion between bond donor and acceptor. The σ‐hole model lacks the fundamental physics behind intermolecular electrostatic interactions and consequently attributes their directionality erroneously to maximizing the electrostatic attraction.
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.
Stimuli‐responsive polymers built by reversible covalent bonds used to possess unbalanced mechanical properties. Here, a crosslinked polyurethane containing aromatic pinacol as a novel reversible CC ...bond provider is synthesized, whose tensile strength and failure strain are tunable from 27.3 MPa to as high as 115.2 MPa and from 324% to 1501%, respectively, owing to the relatively high bond energy of the CC bond of pinacol as well as the hydrogen bond between hard segments and semicrystalline soft segments. Moreover, the dynamic equilibrium of pinacol enables self‐healing and recycling of the polymer. Interestingly, the dynamic exchange among macromolecules, for the first time, successfully cooperates with solid‐state drawing that applies to thermoplastics, realizing strengthening of thermoset. Meanwhile, the radicals derived from homolysis of pinacol can repeatedly initiate polymerization of vinyl monomers. The fruitful outcomes of this work may create a series of promising new techniques.
The CC bond of pinacol is dynamically reversible at moderate temperature. A crosslinked polyurethane carrying pinacol unit is synthesized, which can be self‐healed, reprocessed, and recycled via the catalyst‐free reversible homolysis/radicals recombination of the CC bond. Moreover, its strength can be greatly improved by solid‐state drawing. The radicals created during homolysis are enabled to repeatedly initiate polymerization of vinyl monomers.
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.
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