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

Research output: Chapter in Book/Report/Conference proceedingConference 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 languageEnglish
Title of host publicationProceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
PublisherIEEE Computer Society
Pages631-636
Number of pages6
Volume2
ISBN (Electronic)9781538603673
DOIs
Publication statusPublished - 2017 Sep 7
Event41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017 - Torino, Italy
Duration: 2017 Jul 42017 Jul 8

Other

Other41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
CountryItaly
CityTorino
Period17/7/417/7/8

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Keywords

  • coporate bond : cumulative excess return
  • corroboration effect
  • result report

ASJC Scopus subject areas

  • Software
  • Computer Science Applications

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