Corporate bonds, macroeconomic news, and investor flows
Date
2012-06-30
Authors
Chatrath, Arjun, author
Miao, Hong, author
Ramchander, Sanjay, author
Villupuram, Sriram, author
Journal of Fixed Income, publisher
Journal Title
Journal ISSN
Volume Title
Abstract
This article examines the impact of macroeconomic announcements on corporate bond prices and investor migrations across various types of bonds over time. In addition, the authors compare the responses of investor-grade bonds and speculative corporate bonds. They find corporate bond responses to be different from those of Treasury bonds. Positive macrosurprises are followed by declining (rising) yields on corporate bonds (Treasuries), implying that investors may be migrating between Treasuries and corporate bonds very rapidly. They also identify that the sensitivity of junk bonds is more pronounced than that of investment-grade bonds. Finally, they document that the behavior of corporate bonds is very similar to that of their equity counterparts in that they exhibit greater sensitivity to negative macroshocks than to positive shocks.
Description
Includes bibliographical references (pages 18-21).
Published as: Journal of Fixed Income, vol.22, no. 1, pp.25-40, Summer 2012, https://doi.org/10.3905/jfi.2012.22.1.025.
Published as: Journal of Fixed Income, vol.22, no. 1, pp.25-40, Summer 2012, https://doi.org/10.3905/jfi.2012.22.1.025.