Thesis (M.Commerce Hons.)--University of Western Sydney, Macarthur, Faculty of Business, 1999. / Bibliography: p. 94-99.

This study consists of two essays. In the first essay, I examine whether the overlap in institutional investors between the supplier and its customer can be an efficient monitoring mechanism in the product market. Using a large sample of supplier–customer relationships for the period 1980–2011, I provide the following evidence. First, a high level of overlapping institutional ownership mitigates the adverse effect of asymmetric interdependence between supplier and customer on their firm performance. Second, relationship-specific investments and partnership duration are identified as underlying channels through which overlapping institutional ownership mitigates the adverse effect of asymmetric interdependence on partners’ performance. Third, overlapping institutional ownership is negatively associated with accounts receivable when the supplier is more financially constrained than the customer, suggesting that overlapping institutional ownership improves the efficiency of trade credit allocation. These findings survive out of a series of robustness checks. The findings of this study highlight that the overlap in institutional investors between supplier and customer plays as an efficient monitoring mechanism in the product market. In the second essay, I examine the informational role of overlapping transient institutional investors who hold stocks of both the firm and its customers in disseminating customer information to the firm’s bond market and document four findings. First, I find that overlapping transient institutional ownership significantly alleviates the prediction of lagged customer-portfolio bond returns to supplier bond returns even after controlling for the interaction effect between stock market and bond market. This finding survives out of a series of robustness checks. The alleviation effect is more pronounced for firms with high customer concentration and low customer industry competition, or with non-investment grade. Second, I find that overlapping transient institutional ownership represents more than a mere proxy for investor attention and leads to information advantage over overlapping institutional bondholders. Third, I find that current customer-portfolio return is significantly associated with the trading volume of overlapping transient institutional investors in the bond market, suggesting that overlapping transient institutional investors indeed take customer information into account when they trade bonds of suppliers. Fourth, I examine the real effect of customer information on bondholders and find that customer bond return is significantly related to the supplier’s future operating performance, which is an important predictor of credit risk. Overall, my results show that overlapping transient institutional shareholders take economically linked information into account when they trade in the bond market and improve the informativeness of bond price. Keywords: supplier–customer relationships, overlapping institutional investors, monitoring mechanism, bond price informativeness

This paper investigates the effect of bond market on economic growth in South Africa. Quarterly data for South Africa for the period 2003-2014 was used to develop a general- to- specific Auto-Regressive Distribution Lag (ARDL) approach. The empirical results confirm that there is a positive relationship between Bond market and economic growth in South Africa. A co-integrated relationship between economic growth, stock market and banking sector was noticed in both the long-run and short-runs.

This dissertation studies topics in financial economics. In the first chapter, Raising Bond Capital in Segmented Markets, I study the cost of bond capital. The cost of bond capital to firms that is determined at issuance often exceeds yields trading in secondary bond markets. I find that the difference between yields at issuance and in secondary markets, the ``issuance premium'', spikes in bad times, increasing firms' costs of capital. This suggests that the economics of the relatively understudied primary bond markets -- where firms sell new bonds via underwriters to investors -- are important for understanding firms' costs of capital and access to credit over the cycle. Leveraging new data on bond issuance, I estimate a model of primary markets that explains the issuance premium and its impact on bond issuance volume. Using high-frequency variation in bond supply as an instrument, I find that investors are more sensitive to issuance premiums than the remainder of credit spreads. As issuance premiums rise in bad times, the share of more price-elastic short-term investors endogenously increases, supporting bond volumes. The preferences of primary market investors therefore directly affect the transmission of shocks to firms' costs of capital and bond issuance volume, as well as the price impacts of corporate bond purchase policies. The second chapter, Bond Market Stimulus: Firm-Level Evidence from 2020-21, is co-authored with Olivier Darmouni. We use micro-data on corporate balance sheets to study firm behavior after the unprecedented policy support to corporate bond markets in 2020. We find that as bond yields fell, firms issued bonds to accumulate large and persistent amounts of liquid assets instead of investing. Conceptually, the benefits depend on how highly bond issuers valued this liquidity at the margin. We show they generally had access to bank liquidity that they chose not to use: many issuers left their credit lines untouched, while others used bonds to repay existing loans. Moreover, equity payouts remained high: almost half of issuers still repurchased shares in Spring 2020. In the third chapter, Global Demand Spillovers: the Role of Underwriting Networks, I study the role of underwriter networks in transmitting demand shocks across global jurisdictions. Using novel data and a difference-in-differences strategy, I find that central bank corporate bond purchases spill over to foreign jurisdictions through bond underwriting networks. The diff-in-diff exploits the European Central Bank's 2016 corporate sector purchase program. I compare U.S. firms connected to underwriters with more or less Eurozone clients. Firms connected with banks with more European clients had larger orderbooks and issued more at lower costs. Treated firms do not increase real investment, but rather increase equity payouts. I identify bond underwriting networks as a novel channel through which demand shocks spread across borders. These results matter for understanding the overall impact of corporate quantitative easing programs.

Yes / In this paper, using China’s risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China’s credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates as well as risk premia and the stock index, and these results are somewhat attributed to this puzzle.

International bond market linkages are examined using monthly bond yield data and total return indices on government bonds with ten years to maturity. The bond yield data covers a nineteen-year period from January 1990 to July 2008, while the bond total return index data covers a nine-year period from August 2000 to July 2008. The international bond markets included in the study are Australia, Canada, Germany, Japan, the United Kingdom, and the United States. The examination of international bond market linkages across these markets has important implications for the formulation of effective portfolio diversification strategies. The empirical analysis is carried out in three phases: the preliminary analysis, the principal component analysis (PCA), and the cointegration analysis. For each analysis and for each set of data the full sample period is first analysed and subsequently a five-year rolling window approach is implemented. Accordingly, this makes it possible to capture the time-varying nature of international bond market linkages. The preliminary analysis examines the bond market trends over the sample period, provides descriptive statistics, and reports the correlation coefficients between the selected bond markets. The PCA investigates the interrelationships among the bond markets according to their common sources of movement and identifies which markets tend to move together. The cointegration analysis is carried out using the Johansen cointegration procedure and investigates whether there is long-run comovement between South Africa and the selected bond markets. Where cointegration is found, Vector Error-Correction Models (VECMs) are estimated in order to examine the long-run equilibrium relationships in addition to their short-run adjustments over time. The empirical analysis results were robust, and overall integration between SA and the selected major bond markets remained weak and sporadic. In addition, the results showed that even after accounting for exchange rate differentials, international bond market diversification remained beneficial for a South African investor; and since international bond market linkages remained weak with no observable trend, international bond market diversification will remain beneficial for some time to come for a South African investor.

Thesis (MDevF (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: The importance of market microstructure in determining the success of a bond market in allocating financial resources depends on the degree to which the microstructure elements like liquidity, efficiency and volatility have been designed to determine the proper price at which matching of demand and supply in an efficient and effective manner is done. This research project analyzes some of the fundamental microstructure elements responsible for the current state of the Botswana bond market. The Botswana bond market is still in its infant stage hence there is little information on trades, which contributes to the liquidity problem. The purpose of the study was to investigate the liquidity and efficiency in Botswana’s bond market. The study also sought to compare the behaviour of the Botswana bond market to those of South Africa and further indicate what is behind the bond market emergence. Houweling, Mentink and Vorst‘s (2003) measure was used, in addition to a combination of simple regression and latent models. In the test of efficiency, a static model has been employed. Overall, it is established that the corporate bond market is less efficient and is illiquid. Furthermore, it is revealed that Botswana is still lagging behind South Africa when it comes to the level of development of the corporate bond market.

The key objective of insurance company on money management is asset liability management, as policy asset is solely for paying policy liability. It is true whether it is in case of life insurance, general insurance, or reinsurance. The difficulty of achieving such objective is that the exact cash flow and the exact duration of policy liability are unknown ex ante that requires the asset manager's a good quantitative, financial skill. What is worse is that the variations of cash flow and duration can be huge that is demanding on the asset manager's quantitative, financial skill. Quantitative problem is difficult but qualitative problem can be even more difficult. The specialist problem in insurance industry, which is also known as agency problem in information economics, is notorious. It is because a specialist may no longer work for the insurance company when the long term liability is due and the existing liability portfolio is always composed of myriad policies liability. / The purpose of this thesis is to try to provide solutions to three critical problems in insurance industry. (1) China is the most booming country for insurance at the moment. So, it is selected for discussing about the most difficult problem in modern finance---specialist problem. A structural approach is devised in this thesis to solve such problem. The solution can be generalized to all countries. (2) As many people argue about that modern finance is inapplicable to emerging market, such as China, especially when there are capital account and currency controls, the bond market of China is selected to provide evidence that modern finance is applicable to emerging market even both the capital account and the currency of the country are controlled by the government. (3) The last part of this thesis provides a breakthrough solution to price insurer default option, an embedded option, in insurance company using observable credit default swap price, as the traditional approach needs statistical assumption that is subjective. / Li, Wing Ping Desmond. / Adviser: Frank Youhua Chen. / Source: Dissertation Abstracts International, Volume: 70-06, Section: A, page: 2169. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 64-65). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Study project (MBA)--University of Stellenbosch, 2002. / ENGLISH ABSTRACT: The bond market is an important economic element of both developed and developing economies. The after effects of the Asian crises have prompted arguments that the existence of well-functioning domestic bond markets would have helped to mitigate the impact of shocks in the financial systems of the emerging markets both by providing an alternative source of funding to bank lending and by exposing investors rather than taxpayers to negative shocks. Comparative analyses of various emerging markets were done by using data from the IMF, IFC and various publications. Data from the developed nations, in particular the United States were used as a source of reference because corporate bond market has been used successfully in these markets. Given the limited sources of reference locally, data was sourced mainly from the Bond Exchange of South Africa publications, financial magazines and newspapers, workshop presentations and comments from various bankers, economists and fixed-income analysts. The report starts by looking at the size and growth of the market in comparison with its counterparts in the emerging markets. The reasons, facts, figures and arguments for such growth are thoroughly discussed. This study presents comprehensive macro-economic arguments on the development of the corporate bond market and the benefits they offer to corporates as an alternative source of long-term capital debt funding. The quantitative and qualitative model that assists corporates with the decision making process of whether to issue a bond to fund the capital structure is discussed. The study undertook a quantitative survey of the elements of corporate bond market in terms of coupon rates, bond pricing, risks (namely, credit rating risk and default risk) and the performance of the market, in particular the marketability, liquidity and returns. The investment strategy in the riskier part of the bond market is introduced and discussed, though limited in terms of development. The report concludes by mentioning the successes of the bond market by identifying the existing gaps in the market and the future development of the corporate bond market in South Africa, especially to attract more issuers to the net. / AFRIKAANSE OPSOMMING: Die lang termyn effekte mark, is "n belangrike finansierings element van beide die ontwikkelde en die ontwikkelende ekonomië. Die Asiese krises het as nagevolg gehad dat daar gefokus kon word op die moontlik versagtende invloed van "n goed gedefinieerde funksionele binnelandse effekte mark. Dit kon van die nagevolge versag het deur die daarstelling van "n alternatiewe finansierings bron en die daaropvolgende blootstelling van beleggers in die plek van die belastingbetalers. Vergelykende ontledings van verskeie ontwikkelende mark ekonomië is gedoen deur gebruikmaking van inligting verskaf deur die I.M.F. en I.F.K. asook ander publikasies. Inligting oor ontwikkelde lande in besonder die V.S.A. is gebruik as vergelykende anelise omdat die lang termyn effekte mark suksesvol bedryf word in hierdie markte. Weens die gebrekkige beskikbaarheid van binnelandse bronne i sinligting meestal vanaf die publikasies van die Lang Termyn Effekte beurs van Suid Afrika, finansiële tydskrifte, koerant publikasies, werkswinkel voorleggings asook gespekke met bankiers, ekonome en vaste koers beleggings ontleders verkry. Hierdie studie stuk, vergelyk in die eerste deel die omvang en groei van die mark in vergelyking met ander markte in ontwikkelende lande. Die verskeie groei veranderlikes asook redes en feite rakende groei word in diepte bespreek. Vergelykende makro ekonomiese bewyse vir die ontwikkeling en vestiging van "n lang termyn effekte mark, en die voordele daarvan vir Maatskappye as "n alternatiewe bron van kapitaal word in hierdie studie aangebied. Die kwantitatiewe en kwalitatiewe model vir gebruik deur Maatskappye om tot besluitneming te kom rakende die gebruik van effekte om kapitaal benodighede te befonds word ook bespreek. Die studie het ook "n kwantitatiewe opname ingesluit rakende die verskeie elemente van d ie effekte mark en 0 nder a ndere is daar nad ie koepon koerse, effekte prys bepaling, risiko (naamlik krediet en dishonorering), mark tendense en opbrengste, met besondere verwysing na bemarkbaarheid, likwiditeit en opbrengs. Beleggings strategie in die meer riskante deel van die lang termyn effekte mark word ook bespreek, maar dit is beperk weens die beperkte ontwikkeling daarvan. Afsluitend word verwys na verskeie sukses faktore in die effekte mark deur die indentifisering van bestaande gapings, en die toekomstige ontwikkeling van hierdie spesifieke mark in Suid Afrika. Die doelstelling om meer toetreders na die mark te lok as deelnemers deur die uitgifte van lang termyn effekte word ook benadruk.

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / Corporate bonds issued by the four major commercial banks in South Africa, which account for 61% of the market, and their respective earning announcements in the period 1 January 2013 to 31 December 2014 were used to analyse the reaction of daily corporate bond prices to the earnings announcements of South African companies. The reaction of the daily corporate bond prices to earnings announcements was empirically analysed using cross sectional regressions. We concluded that on average the South African corporate bond market incorporates any new information from earnings announcements. We also investigated if the asymmetrical payoff structure of corporate bonds causes daily prices to be more sensitive to bad earnings announcements than good earnings announcements. Our investigation found that daily corporate bond prices are insensitive to both bad and good earnings announcements. Lastly, we analysed if the lack of infrastructure and liquidity in the corporate bond market hinders corporate bonds in incorporating information relative to the stock market, which has better infrastructure and liquidity. We observed that both corporate bonds and stocks on average incorporate new information from earnings announcements, irrespective of illiquidity and the absence of adequate infrastructure in the South African corporate bond market, / DM2016