Measuring Abnormal Bond Performance

By H. Bessembinder, Kathleen M. Kahle, William F. Maxwell, Daniel Yi Xu. 2009

614 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/3157bb4c824366501bca004bd99117b6554c3310

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Patricia Crifo
2. Bert Scholtens
3. Xin Deng
4. Buen Sin Low
5. Thanh D. Huynh
6. Pepa Kraft
7. G. Capelle-Blancard
8. Chang Lee

In Finance

1. Bert Scholtens
2. Patricia Crifo
3. Xin Deng
4. Buen Sin Low
5. Thanh D. Huynh
6. Pepa Kraft
7. G. Capelle-Blancard
8. Chang Lee

Citations in the corpus

• Do Rating Agencies Cater? Evidence from Rating-Based Contracts (2015, neutral): “While some bonds are actively traded, the average bond only trades 52 days a year, and conditional on trading, only 4.62 times per day (Bessembinder et al. (2009)).”
• Common risk factors in the cross-section of corporate bond returns (2019, neutral): “, 2005; Chen et al., 2007 ). In a recent paper, Culp et al. (2018) show that a risk premium for idiosyncratic tail risk is the primary determinant of corporate spreads, whereas bond market illiquidity, investors’ overestimation of default risks, and corporate frictions do not explain credit spreads.”
• Regulatory Pressure and Fire Sales in the Corporate Bond Market (2011, neutral): “28 Bessembinder et al. (2009) suggest that analysis of abnormal returns should be performed at the issuer level to avoid being dominated by some large issuers with several bond issues.”
• The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, neutral): “…think of small traders as retail investors and large traders as institutional investors, since trades smaller than $100, 000 are predominantly retail trades and larger trades are mainly institutional trades (Goldstein, Hotchkiss, and Sirri (2007) and Bessembinder, Kahle, Maxwell, and Xu (2009)).”
• Financing dies in darkness? The impact of newspaper closures on public finance (2020, result): “This is similar in spirit to the corporate bond matching procedure in Bessembinder et al. (2009) .”
• Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries (2019, result): “First, although bond market event studies are not straightforward (Bessembinder et al., 2009; Ederington et al., 2015), one might conduct an event study, similar, for instance, to Capelle–Blancard and Laguna (2010) to assess the impact of ESG news on yield spreads.”
• Financial statement comparability and credit risk (2013, background): “Kaplan and Urwitz (1979), Blume et al. (2006)) and between accounting ratios and default (Beaver (1966), Altman (1968), Beaver et al.”
• Corporate Social Responsibility and the Cost of Corporate Bonds (2015, background): “We eliminate variable coupon and zero coupon bonds, as well as perpetual bonds, because these bonds tend to be unique and behave more like equities (Bessembinder et al., 2009).”
• Climate Change News Risk and Corporate Bond Returns (2020, positive): “…1þAIi,t 1ð Þ ,(1) wherePi,t is the last transaction price at which bond iwas traded inmonth t, which is computed as the trading volume-weighted average of all intraday transaction prices (Bessembinder et al. (2008)),5 AIi,t is accrued interest, and Ci,t is the coupon payment, if any, in month t.”
• Corporate Social Responsibility and Stakeholder Value Maximization: Evidence from Mergers (2013, positive): “Following Bessembinder et al. (2010), we estimate bond CARs as bond returns in excess of value-weighted control portfolios.”