Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

Hiroaki Jotaki; Hiroshi Takahashi; Yasuo Yamashita; Takao Terano

doi:10.1109/COMPSAC.2017.95

Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

Hiroaki Jotaki, Hiroshi Takahashi, Yasuo Yamashita, Takao Terano

Graduate School of Business Administration

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

This study focuses on how the cumulative excess returns (CER) of corporate bonds in the Japanese market respond to simultaneous publications of current net earnings and management's net earnings forecast. The estimation results using a regression model generalizing the interaction of the current net earnings and management's net earnings forecast show that the CER of corporate bonds is influenced mutually by the two pieces of information. In particular, we confirmed that declining current net earnings and management net earnings forecasts will have the most negative impact on corporate bonds. These results reveal interesting facts about the mechanism by which financial information is reflected in prices in the corporate bond market as well as the excess source of the investment return in asset management practice.

Original language	English
Title of host publication	Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
Publisher	IEEE Computer Society
Pages	631-636
Number of pages	6
Volume	2
ISBN (Electronic)	9781538603673
DOIs	https://doi.org/10.1109/COMPSAC.2017.95
Publication status	Published - 2017 Sep 7
Event	41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017 - Torino, Italy Duration: 2017 Jul 4 → 2017 Jul 8

Other

Other	41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
Country/Territory	Italy
City	Torino
Period	17/7/4 → 17/7/8

Keywords

coporate bond : cumulative excess return
corroboration effect
result report

ASJC Scopus subject areas

Software
Computer Science Applications

Access to Document

10.1109/COMPSAC.2017.95

Cite this

Jotaki, H., Takahashi, H., Yamashita, Y., & Terano, T. (2017). Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. In Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017 (Vol. 2, pp. 631-636). [8030003] IEEE Computer Society. https://doi.org/10.1109/COMPSAC.2017.95

Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. / Jotaki, Hiroaki; Takahashi, Hiroshi; Yamashita, Yasuo et al.

Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017. Vol. 2 IEEE Computer Society, 2017. p. 631-636 8030003.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Jotaki, H, Takahashi, H, Yamashita, Y & Terano, T 2017, Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. in Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017. vol. 2, 8030003, IEEE Computer Society, pp. 631-636, 41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017, Torino, Italy, 17/7/4. https://doi.org/10.1109/COMPSAC.2017.95

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abstract = "This study focuses on how the cumulative excess returns (CER) of corporate bonds in the Japanese market respond to simultaneous publications of current net earnings and management's net earnings forecast. The estimation results using a regression model generalizing the interaction of the current net earnings and management's net earnings forecast show that the CER of corporate bonds is influenced mutually by the two pieces of information. In particular, we confirmed that declining current net earnings and management net earnings forecasts will have the most negative impact on corporate bonds. These results reveal interesting facts about the mechanism by which financial information is reflected in prices in the corporate bond market as well as the excess source of the investment return in asset management practice.",

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AB - This study focuses on how the cumulative excess returns (CER) of corporate bonds in the Japanese market respond to simultaneous publications of current net earnings and management's net earnings forecast. The estimation results using a regression model generalizing the interaction of the current net earnings and management's net earnings forecast show that the CER of corporate bonds is influenced mutually by the two pieces of information. In particular, we confirmed that declining current net earnings and management net earnings forecasts will have the most negative impact on corporate bonds. These results reveal interesting facts about the mechanism by which financial information is reflected in prices in the corporate bond market as well as the excess source of the investment return in asset management practice.

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Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

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