Corporate bond returns and the financial crisis

Aboody, David; Hughes, John S.; Ozel, N. Bugra

doi:10.1016/j.jbankfin.2013.11.012

Cited by 16 publications

(8 citation statements)

References 24 publications

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“…It shows that, the wider range of yield spreads representing by higher means of long term conventional bonds indicate the level of default risks is higher compare to trading in long term sukuk. As what was claimed by empirical studies [2, 10,25] that sukuk is just a mirror of bonds with respect to their yield spread or returns. However, the result of yield spreads finding is consistent with the study done by Mosaid and Boutti [10] whereby they found that a significant and positive correlation between returns of sukuk and bond portfolios.…”

Section: Results Analyses and Discussionmentioning

confidence: 84%

An Analysis of Corporate Bonds Issuances in Malaysia

Saad¹

2018

IJBM

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The objective of this study is to reveal an evocative statistical result on the bonds issuances for both, conventional bonds and Islamic bonds in Malaysia. Secondary data are obtained from Bondinfo hub, central bank of Malaysia on long-term and medium-term issuances of corporate bonds. There is 256 and 405 number of observations for long-term and medium-term issuances respectively. The independent samples T-test and Levene's test are utilized for hypotheses testing. Results revealed that conventional bonds yields have larger spread compared to sukuk in long-term issuances. However in medium-term issuances, the spreading of risk is larger in sukuk compared to conventional bonds. To the issuer, sukuk issuances is the best option in long-term capital financing otherwise conventional bonds issuances is better for medium-term period since their commitment to pay contractual interest is low.

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Section: Results Analyses and Discussionmentioning

confidence: 84%

An Analysis of Corporate Bonds Issuances in Malaysia

Saad¹

2018

IJBM

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“…Shivakumar [2007] and Kothari, Shivakumar, and Urcan [2013] show that aggregate earnings surprises contain information about future inflation and that macroeconomic forecasters do not fully utilize this information. Aboody, Hughes, and Ozel [2014] 6 In alternative models, we include economic indicators that FRB uses in its calculation of the predicted growth rate of the coincident index individually, and find qualitatively similar results. In these models, we include several lags of changes in coincident index to control for the possibility that observed findings are an artifact of reverse causality such that loan portfolio measures reflect prior economic conditions that are correlated over time.…”

Section: Introductionmentioning

confidence: 69%

Real Activity Forecasts Using Loan Portfolio Information

Khan

Ozel

2016

J of Accounting Research

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To extend and monitor loans, banks collect detailed and proprietary information about the financial prospects of their customers, many of whom are local businesses and households. Therefore, banks’ loan portfolios contain potentially useful information about local economic conditions. We investigate the association between information in loan portfolios and local economic conditions. Using a sample of U.S. commercial banks from 1990:Q1 to 2013:Q4, we document that information in loan portfolios aggregated to the state level is associated with current and future changes in statewide economic conditions. Furthermore, the provision for loan and lease losses contains information incremental to leading indicators of state‐level economic activity and recessions. Loan portfolio information also helps to improve predictions of economic conditions at more granular levels, such as at the commuting zone level. We discuss the relevance of these findings for economic analysis and forecasting, and the relation of our study to prior work on the informativeness of accounting information about the macroeconomy.

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“…Aboody, Hughes and Ozel [4] also conduct a study evaluating contagion impact in bonds market during the crisis. Using Asia Bonds Market, Guillaumin [2] finds that financial integration is stronger in the post-crisis period than during the crisis.…”

Section: Literature Reviewmentioning

confidence: 99%

Greek Financial Crisis Affect Sukuk Markets? Experience from Gulf Countries

Herwany¹

2016

JIFS

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Many studies have been carried out to investigate the impact of recent European financial crises on the performance of financial instruments in other regions. Nevertheless, there have been insufficient studies explaining such impact on Islamic financial instruments. In particular, whether Greek Financial crisis have affected performance of Sukuk traded in Gulf Markets needs to be answered. This study is aimed at empirically investigating the causality of credit and liquidity risk on Sukuk Markets in Gulf economies in the period of Greek Financial Crisis (2010 to 2013). We analyzed the Sukuk data by employing Granger causality test, with all the associated vector autoregression model procedures. To investigate different stages of the contagion impact, we carried out the analysis in three tests, i.e., using (i) full period data; (ii) pre-downturn data; and (iii) during-downturn data. Our findings show that Bahrain sukuk market is cointegrated with those of Qatar and UAE in the full period observations. Meanwhile, during the crisis, Qatar Sukuk market is cointegrated with those of UAE and Bahrain. We also find that Bahrain Sukuk triggers market shock in both Qatar and UAE Sukuk markets. Bahrain consistently causes changes in price and spread of UAE Sukuk, both in the context of the full period and the during-crisis period. The reverse is also true. There has been strong tie between Bahrain and UAE Sukuk markets

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Corporate bond returns and the financial crisis

Cited by 16 publications

References 24 publications

An Analysis of Corporate Bonds Issuances in Malaysia

An Analysis of Corporate Bonds Issuances in Malaysia

Real Activity Forecasts Using Loan Portfolio Information

Greek Financial Crisis Affect Sukuk Markets? Experience from Gulf Countries

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