An Analysis of the Impact of Selected Factors on the Bond Market

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F18%3A43914779" target="_blank" >RIV/62156489:43110/18:43914779 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.11118/actaun201866061451" target="_blank" >https://doi.org/10.11118/actaun201866061451</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201866061451" target="_blank" >10.11118/actaun201866061451</a>

Result language

angličtina

Original language name

An Analysis of the Impact of Selected Factors on the Bond Market

Original language description

Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non-currency return and currency return. The currency return is defined by exchange rate risk and the non-currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a rich dataset from Morningstar in the period 2001-2017 we employ the linear regression analysis method OLS with fixed effects. We apply the model for different bond yields and different time-series. The factors influence bond price differently for each yield and each time-series. Our results confirm that currency movements significantly affect the bond prices.

Czech name

—

Czech description

—

Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

—

OECD FORD branch

50206 - Finance

Project

<a href="/en/project/GA16-26353S" target="_blank" >GA16-26353S: Sentiment and its impact on stock markets</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Volume of the periodical

66

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

8

Pages from-to

1451-1458

UT code for WoS article

—

EID of the result in the Scopus database

2-s2.0-85060185765