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 | |
| 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 | Italy |
| City | Torino |
| Period | 17/7/4 → 17/7/8 |
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Keywords
- coporate bond : cumulative excess return
- corroboration effect
- result report
ASJC Scopus subject areas
- Software
- Computer Science Applications
Cite this
Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. / Jotaki, Hiroaki; Takahashi, Hiroshi; Yamashita, Yasuo; Terano, Takao.
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
}
TY - GEN
T1 - Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market
AU - Jotaki, Hiroaki
AU - Takahashi, Hiroshi
AU - Yamashita, Yasuo
AU - Terano, Takao
PY - 2017/9/7
Y1 - 2017/9/7
N2 - 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.
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.
KW - coporate bond : cumulative excess return
KW - corroboration effect
KW - result report
UR - http://www.scopus.com/inward/record.url?scp=85032878479&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85032878479&partnerID=8YFLogxK
U2 - 10.1109/COMPSAC.2017.95
DO - 10.1109/COMPSAC.2017.95
M3 - Conference contribution
VL - 2
SP - 631
EP - 636
BT - Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
PB - IEEE Computer Society
ER -