Bond Liquidity Research Articles

A new measure of corporate bond liquidity using survival analysis

We define liquidity for corporate bonds as the expected waiting time to reduce a risk position. Our methodology addresses the fact that many bonds are liquidated quickly despite having few trades in the recent past. Building on research from the housing market, we apply survival analysis to bond holding times. We generalize across bond properties and market conditions to arrive at a liquidity measure for all corporate bonds, independent of how often they trade and whatever transaction costs they incur.

Credit rating agencies, information asymmetry and US bond liquidity

AbstractDo rating announcements reduce information asymmetries? We investigate the effect of rating disclosures on the volatility and liquidity of the US bond market. Although rating agencies' decisions are often anticipated by credit spread changes, we show that in the case of no regulatory change, their release can reduce volatility and the bid–ask spread. This reduction is stronger when the rating agency announcement has been anticipated by the market, namely, after downgrades, whereas upgrades trigger a mixed reaction. These findings are consistent with the predictions of a simple sequential trade model with event uncertainty and noise and informed traders.

Experimental investigation on thermal management of lithium-ion battery with roll bond liquid cooling plate

• A liquid cooling plate with flexible flow channel design is fabricated using roll bond process, its thermal performance is verified experimentally. • Using proposed liquid cooling plate, the temperature of battery module is below 35 °C, and the temperature difference is within 5 °C at 2C discharge rate (750 W). • Compared with other studies, roll bond liquid cooling plate has strong heat transfer capacity, light weight and low cost. • Experimental results show that with Re increases, the improvement of the thermal performance of rib is greater than cavity. Lithium-ion batteries are widely used in energy storage systems owing to their high energy storage density, high energy storage efficiency, and stability. However, the power density of energy storage system is usually limited by thermal management. In this paper, the temperature distribution of the battery along the height direction is obtained. The thermal management analysis of two 100Ah lithium-ion batteries in series is carried out by using roll bond liquid cooling plate which has significant heat dissipation performance and low manufacturing cost. Cavity and rib structures are embedded in the serpentine channel and compared to the direct channel. Effects of flow rate and contact area are studied. The experimental results show that when charging and discharging at 1C, the cell temperature can be controlled by a low flow rate(12L/h) and the cavity structure with a large heat exchange area is dominant. In 2C discharge, large flow rate(>20L/h) is required. Rib structure with high flow rate and low water temperature has better performance. When discharged at 2C rate(750 W), roll bond liquid cooling plate can control the battery temperature below 35 °C and the temperature difference within 5 °C, at the cost of small pressure drop(5818 Pa). Compared with other studies, roll bond liquid cooling plate has strong heat transfer capacity, light weight and low cost, which is a promising solution for thermal management of energy storage batteries.

Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market

The Sovereign Debt Management Office of the Kingdom of Denmark decided in 2017 to pay direct compensation to certain financial intermediaries for providing liquidity in its sovereign bond market. We analyze the extent to which market liquidity and liquidity premia in the Danish sovereign bond market changed in response to this new market design and, in particular, the compensation offered to liquidity providers. We also investigate whether the new compensation scheme for market makers is cost-efficient for the Kingdom of Denmark through lower bond liquidity premia, bond yields and debt service costs. We find that improvements in market liquidity conditions lead to potential savings, net of costs, for the Kingdom of Denmark of DKK 23.12 million over the lifetime of the bonds issued every year as a direct benefit, and to a decrease in interest expenses for the real economy of about 0.07% of nominal GDP as one indirect benefit. From these findings, we derive policy recommendations for the Kingdom of Denmark, as well as other European countries that currently generally employ an indirect rather than a direct compensation scheme.

Detection of phase transitions in liquid crystals through optical, thermal and electrical techniques

A ferroelectric hydrogen bond liquid crystal is chosen for documentation of phase transition temperature by various techniques. In this article, the identification of phase transition from smectic C* to smectic G* through ten various techniques which includes optical, thermal, dielectric and electrical methods are discussed. Optical textures are the first evidence for the phase transition to occur. Smectic C* is manifested by broken focal conic texture while smectic G* is identified by smooth mosaic texture. An intense peak in the DSC thermogram provided the exact phase transition temperature along with enthalpy value of C* to G* phase. The variation of permittivity and dielectric loss with temperature also evinced C* to G* phase transition temperature. In addition to these, thermo-electric profiles of this sample are constructed between voltage and temperature at a fixed magnitude of current. An anomaly in thermo-electric profiles indicated detection of the phase transition temperature. Lastly thermo-resistive profiles are constructed for different values of temperature. An anomaly in the plot between resistance of the mesogen with temperature clearly indicates the first order C* to G* phase transition temperature.

Credit rating announcement and bond liquidity: the case of emerging bond markets

PurposeThis study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets using a sample of nine countries: Argentina, Mexico, Peru, Hungary, Poland, Spain, Turkey, Hong Kong and Greece. The sample includes daily data on sovereign bonds that go from July 2009 to July 2017. The main focus is on the period before and after the sovereign debt crisis. This study notes that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.Design/methodology/approachThis study aims to question the sources of liquidity problem of sovereign bonds issued by the emerging countries. The study’s database consists of daily data of all nine emerging countries for the period from July 2009 to July 2017. Panel data were collected from the Datastream database.FindingsThis study first directly tests the information content of bond ratings announcements and their effect on bond market liquidity. Next, the impact of rating changes on sovereign bond liquidity around the rating announcements is studied. Rating changes can affect sovereign bond's price, trading and liquidity around the announcement date. In particular the rating changes that move the bonds out of the investment grade category can elicit selling pressure or even fire sale of the fallen angels.Originality/valueThis research aims to present data on the prices of sovereign bonds that react to changes in credit rating by studying the price movements around the announcement of changes in credit rating. The literature is very rich in studies on credit rating changes on stocks and corporate bonds, but this study is perhaps the first attempt on sovereign bonds.

Experimental and computational (DFT) methods: exploration of thermochromism in homophthalic acid and 4-N-alkyloxybenzoic acid comprised hydrogen bond liquid crystals

Novel thermochromism is identified in hydrogen bond liquid crystal (HBLC) homologues series which is prepared from non-mesogenic Homophthalic acid (HPA) and mesogenic 4-n-alkyloxybenzoic acid (nOBA, n = 6 to 12). The occurrence of intermolecular interaction between HPA and nOBA, is confirmed by Fourier-transform infrared spectroscopic (FT-IR) technique and computation (DFT) methods. Thermochromic changes in nematic phase and thermo-optic properties of HPA + nOBA HBLC complex is investigated by polarizing optical microscope (POM) and differential scanning calorimetric (DSC) studies. The induced thermochromism in nematic phase which establish the possibility of temperature dependent sensor applications.

Spread determinants in corporate bond pricing: The effect of market and liquidity risks

This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish ?A? and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long-term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category.

Credit Rating Agencies, Information Asymmetry and Us Bond Liquidity

Credit Rating Agencies, Information Asymmetry and Us Bond Liquidity

Bond Liquidity and Dealer Inventories: Insights from Us and European Regulatory Data

Bond Liquidity and Dealer Inventories: Insights from Us and European Regulatory Data

Новые направления использования инструментов зеленого финансирования как фактор развития рынка

The subject of the study is the use of green finance instruments in the context of sustainable development priorities to increase their liquidity and develop relevant markets. The purpose of the work is to identify the possibilities of using Green bonds as investment and reserve assets by conservative investors. The article analyzes the state and trends in the development of green finance markets and proposes a solution to the problem of increasing the liquidity of Green bonds based on new directions of their use, supported by general scientific research methods in the framework of comparative, logical and statistical analysis, as well as graphical visualization and interpretation of data. The conducted research has shown that the interest in green financing instruments is due to the transformation of the goals and priorities of private and public investors and reflects the need for sustainable development and environmental conservation. In terms of profitability and reliability, Green bonds meet the criteria set for asset placement by conservative investors, such as banks and insurance companies. The use of Green bonds provides the necessary diversification of the securities portfolio, improvement of its structure, reduction of risks, increases the confidence of investors and creditors. It is concluded that Green bonds denominated in Euros should be used to improve the structure and quality of international assets of central banks in conditions of falling confidence in the US dollar.

Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk

This study derives a liquidity and credit risk‐adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market. Our research shows that the channels through which liquidity risk affects corporate bond return are individual bond liquidity risk, the interaction between individual bond liquidity risk and market liquidity risk. The channels through which credit risk affects corporate bond return are individual bond credit risk, the interaction between individual bond credit risk and market credit risk. The main channel through which the interaction between liquidity risk and credit risk affects corporate bond return is the interaction between individual bond liquidity risk and market credit risk. The model reveals the impact mechanism of individual risk and market risk on bond return and explains why the interaction between liquidity risk and credit risk affects bond pricing.

A New Perspective on the Corporate Bond Liquidity Factor

A New Perspective on the Corporate Bond Liquidity Factor

A New Perspective on the Corporate Bond Liquidity Factor

A New Perspective on the Corporate Bond Liquidity Factor

Economic Policy Uncertainty and Corporate Bond Liquidity

Economic Policy Uncertainty and Corporate Bond Liquidity

Liquidity commonality in sovereign bond markets

This paper documents commonality in the liquidity of sovereign bonds. We show that local market-level liquidity changes exert a substantial influence on the liquidity of single bonds. Unlike in equity markets there is only little evidence that changes in global liquidity affect the liquidity of individual sovereign bond markets. Instead, we document the occurrence of negative cross-market correlations of liquidity across several markets and time periods. The results further suggest that diverging monetary policy and the flight-to-safety phenomenon contribute to this decoupling in liquidity correlations.

Cation Dimerization in a 3d1 Honeycomb Lattice System.

In one-dimensional systems with partially filled valence bands, simultaneous changes occur in the electronic states and crystal structures. This is known as the Peierls transition. The Peierls transition (cation dimerization) in VO2, which has a quasi-one-dimensional structure, is well-known, and its mechanism has been extensively discussed. Honeycomb lattices exhibit the Peierls instability owing to their low dimensionality. However, cation dimerization is rare in the 3d1 honeycomb lattice system. Here, we perform an in-depth examination of the V-V dimerization (formation of V-V direct bond) in ilmenite-type MgVO3, which is a 3d1 honeycomb lattice system. A ladderlike pattern was observed in the V-V dimers through synchrotron X-ray experiments at temperatures below 500 K. This dimerization was accompanied by a magnetic-to-nonmagnetic transition. Moreover, a valence bond liquid phase may exist at 500-600 K. Our results reveal the behavior of the valence electrons in the 3d1 honeycomb lattice system.

The effect of issuance documentation disclosure and readability on liquidity: Evidence from green bonds

This paper investigates the potential effects of the disclosure and the readability of a green bond’s issuance documentation on its liquidity. Using a sample of 274 green bonds issued by both corporate and financial issuers (102 unique firms) worldwide (23 countries) from 2011 to 2018, we show that both the disclosure of green bond frameworks and annual reports and their readability increase the bond’s liquidity. Our results are robust to checks for endogeneity and to alternative estimation techniques. Both disclosure and readability have a more important impact on liquidity for bonds issued by nonfinancial (vs. financial) issuers, bonds with longer maturities, and those with lower credit ratings.

Boosting the Equity Momentum Factor in Credit

Machine learning techniques have gained popularity in recent years but only to a limited extent in fixed-income research. This article shows some new work in the application of “boosted regression trees” for the equity momentum factor in the corporate bond market. We report significant performance gains to investors from using machine learning–driven forecasts, roughly doubling the alpha and information ratio of better known equity momentum strategies. In addition to past equity returns, we include size and liquidity of stocks and bonds in our model framework.

PENGARUH UKURAN PERUSAHAAN, PROFITABILITAS, LIKUIDITAS DAN LEVERAGE TERHADAP PERINGKAT OBLIGASI PADA PERUSAHAAN JASA KEUANGAN DI BURSA EFEK INDONESIA

This study aims to determine the effect of company size, profitability, liquidity, and leverage on bond ratings at financial service companies on the Indonesian Stock Exchange (BEI). The samples in this study consisted of 20 companies obtained by the purposive sampling method. The type of data used secondary data from financial statement report during the period 2014-2018 download from www.idx.co.id. The data analysis method in this study was logistic regression analysis through of SPSS. The results of study stated that company size has a significant positive effect on bond ratings, profitability has a negative and insignificant effect on bond ratings, liquidity and leverage have negative significant effect on bond ratings