Financial institution credit assessment and implications for portfolio managers

Autor:	Ligang Zhong, Lynnette D. Purda, Fatma Sonmez
Rok vydání:	2015
Předmět:	Economics and Econometrics Financial institution Bond media_common.quotation_subject education Financial ratio Financial system Credit rating Debt Economics Bond market Portfolio Bond credit rating health care economics and organizations Finance media_common
Zdroj:	Journal of International Financial Markets, Institutions and Money. 38:148-166
ISSN:	1042-4431
Popis:	We document systematic industry differences between the yields of bonds issued with the same credit rating. Specifically, financial firm bonds provide higher yields after controlling for issue and firm-specific characteristics. An exception is the debt of large financial issuers, consistent with the too-big-to-fail phenomenon. Evidence of higher yields extends to syndicated loans but does not translate to abnormal returns in secondary bond market trading when returns are explained by a four factor model. Our results suggest that portfolio managers could use financial institution bonds to generate greater yield within their rating constraints but doing so may increase exposure to risk.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d06ff5bfb0f40664940e92d3d75eca59 https://doi.org/10.1016/j.intfin.2015.05.018 Zobrazit plný text záznamu Full Text from ScienceDirect