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
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/21113 |
| Date | January 2016 |
| Creators | Ravele, Mpho Krezentia |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf, application/pdf |
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