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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA16-26353S" target="_blank" >GA16-26353S: Sentiment a jeho vliv na akciové trhy</a><br>

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

66

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

8

Strana od-do

1451-1458

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85060185765