Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market

Steve Janner () and Daniel Schmidt ()

Financial Markets and Portfolio Management, 2015, vol. 29, issue 3, 298 pages

Abstract: We examine the association between bond prices and corporate news for firms listed in the prime segment of the German stock market. Focusing on economically significant bond returns, we provide an overview of the various news categories that influence bond investors in their assessment of an issuer’s default risk. This approach allows us to draw direct comparisons with respect to size and time of impact. We find that (1) there is a strong relationship between economically significant changes in bond prices and corporate news, (2) earnings announcements and financing issues prevail in our analyses, and (3) on average, around half the significant bond returns occur within a period of one day before to one day after an event. This proportion is considerably small compared to the findings of related studies on the stock market. We also carry out a conventional event study analysis as an alternative approach to our main analysis. Copyright Swiss Society for Financial Market Research 2015

Keywords: Bond market; Abnormal return; News; Event study; G12; G14 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11408-015-0253-5

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