본문 바로가기
KERD
논문KCI 등재

Downside Tail Risk and the Cross-section of Corporate Bond Returns in Korea

2

조회

0

다운로드

0

인용

0

참고문헌

키워드

주제분류경영학

초록

This study investigates the cross-sectional relationship between bond downside risk, quantified by 5% Value at Risk (VaR), and expected returns in the Korean corporate bond market from 2010 to 2019. Based on portfolio analyses and Fama-MacBeth regressions, we find a significant positive relationship between downside risk and subsequent bond returns, notably during economic expansions. The relationship diminishes during economic downturns, potentially influenced by the interaction between the interest rates and bond yields. Our findings hold even after controlling for other risk factors and bond characteristics.

Abstract

This study investigates the cross-sectional relationship between bond downside risk, quantified by 5% Value at Risk (VaR), and expected returns in the Korean corporate bond market from 2010 to 2019. Based on portfolio analyses and Fama-MacBeth regressions, we find a significant positive relationship between downside risk and subsequent bond returns, notably during economic expansions. The relationship diminishes during economic downturns, potentially influenced by the interaction between the interest rates and bond yields. Our findings hold even after controlling for other risk factors and bond characteristics.

참고문헌 (43)

  1. Acharya, V. V., "Liquidity risk of corporate bond returns : conditional approach", Journal of Financial Economics, 110(2), pp.358~386 (2013)
  2. Amihud, Y., "Illiquidity and Stock Returns : Cross-section and Time-series Effects", Journal of Financial Markets, 5(1), pp.31~56 (2002)
  3. Ang, A., "Downside Risk", Review of Financial Studies, 19(4), pp.1191~1239 (2006)
  4. Arzac, E. R., "Portfolio Choice and Equilibrium in Capital Markets with Safety-first Investors", Journal of Financial Economics, 4(3), pp.277~288 (1977)
  5. Atilgan, Y., "Left-tail Momentum : Underreaction to Bad News, Costly Arbitrage and Equity Returns", Journal of Financial Economics, 135(3), pp.725~753 (2020)
  6. Downside Risk and the Cross-section of Corporate Bond Returns, "Augustin, P.", ~ (2020)
  7. Bai, J., "RETRACED : Common Risk Factors in the Cross-section of Corporate Bond Returns", Journal of Financial Economics, 131(3), pp.619~642 (2023)
  8. Bali, T. G., "Long-term Reversals in the Corporate Bond Market", Journal of Financial Economics, 139(2), pp.656~677 (2021)
  9. Bali, T. G., "The Macroeconomic Uncertainty Premium in the Corporate Bond Market", Journal of Financial and Quantitative Analysis, 56(5), pp.1653~1678 (2021)
  10. Bi, J., "Value at Risk, Cross-sectional Returns and the Role of Investor Sentiment", Journal of Empirical Finance, 56, pp.1~18 (2020)
  11. Boons, M., "Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality", Journal of Finance, 78(5), pp.2901~2943 (2023)
  12. Canner, N., "An Asset Allocation Puzzle", American Economic Review, 87(1), pp.181~191 (1997)
  13. Chen, L., "Corporate Yield Spreads and Bond Liquidity", Journal of Finance, 62(1), pp.119~149 (2007)
  14. Chen, H., "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle", Review of Financial Studies, 31(3), pp.852~897 (2018)
  15. Chung, K. H., "Volatility and the Cross-section of Corporate Bond Returns", Journal of Financial Economics, 133(2), pp.397~417 (2019)
  16. Covitz, D., "Liquidity or Credit Risk? The Determinants of Very Short-term Corporate Yield Spreads", Journal of Finance, 62(5), pp.2303~2328 (2007)
  17. Dang, T. D., "Which Factors for Corporate Bond Returns?", Review of Asset Pricing Studies (2023)
  18. Dickerson, A., "Priced risk in corporate bonds", Journal of Financial Economics, 150(2), pp.103707~ (2023)
  19. Epstein, L. G., "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns : A Theoretical Framework", Econometrica, 81(3), pp.937~969 (1989)
  20. Eriksen, J. N., "Expected Business Conditions and Bond Risk Premia", Journal of Financial and Quantitative Analysis, 52(4), pp.1667~1703 (2017)
  21. Farago, A., "Downside Risks and the Ross-section of Asset Returns", Journal of Financial Economics, 129(1), pp.69~86 (2018)
  22. Fama, E. F., "Risk, Return, and Quilibrium : Empirical Tests", Journal of Political Economy, 81(3), pp.607~636 (1973)
  23. Fama, E. F., "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, 33(1), pp.3~56 (1993)
  24. Gemmill, G., "Downside Risk and the Size of Credit Spreads", Journal of Banking & Finance, 35(8), pp.2021~2036 (2011)
  25. Gui, P., "Value at Risk and the Cross-section of Expected Returns : Evidence from China", Pacific-Basin Finance Journal, 66, pp.101498~ (2021)
  26. Huang, J. Z., "How Much of the Corporate-treasury Yield Spread is Due to Credit Risk?", Review of Asset Pricing Studies, 2(2), pp.153~202 (2012)
  27. Israel, R., "Common Factors in Corporate Bond Returns", Journal of Investment Management, 16(2), pp.17~46 (2017)
  28. 정희준, "한국 채권시장의 투명성 제고정책과 유동성에 관하여", 한국증권학회지, 40(3), pp.501~524 (2011), 한국증권학회
  29. Jostova, G., "Momentum in Corporate Bond Returns", Review of Financial Studies, 26(7), pp.1649~1693 (2013)
  30. 김도완, "안전자산 선호현상이 투기등급 채권발행을 어렵게 하는가?", 재무관리연구, 35(1), pp.1~25 (2018), 한국재무관리학회[DOI]
  31. Kelly, B., "Modeling Corporate Bond Returns", Journal of Finance, 78(4), pp.1967~2008 (2023)
  32. Lettau, M., "Conditional Risk Premia in Currency Markets and other Asset Classes", Journal of Financial Economics, 114(2), pp.197~225 (2014)
  33. Li, X., "Downside Risk and Defaultable Bond Returns", Journal of Management Science and Engineering, 6(1), pp.99~110 (2021)
  34. Lin, H., "Liquidity Risk and Expected Corporate Bond Returns", Journal of Financial Economics, 99(3), pp.628~650 (2011)
  35. Nozawa, Y., "What Drives the Cross-Section of Credit Spreads? : A Variance Decomposition Approach", Journal of Finance, 72(5), pp.2045~2072 (2017)
  36. 옥기율, "회사채 시장의 유동성이 신용등급별 회사채 수익률에 미치는 영향", Journal of The Korean Data Analysis Society, 15(6), pp.3397~3408 (2013), 한국자료분석학회
  37. Routledge, B. R., "Generalized Disappointment Aversion and Asset Prices", Journal of Finance, 65(4), pp.1303~1332 (2010)
  38. Roy, A. D., "Safety First and the Holding of Assets", Econometrica, 20(3), pp.431~449 (1952)
  39. Shin, D., "Liquidity and Credit Risk before and after the Global Financial Crisis : Evidence from the Korean Corporate Bond Market", Pacific-Basin Finance Journal, 33, pp.38~36 (2015)
  40. Sibley, S. E., "The Information Content of the Sentiment Index", Journal of Banking & Finance, 62, pp.164~179 (2016)
  41. Statistics Korea, "Turning Point of Recent Business Cycle", ~ (2023)
  42. Stambaugh, R. F., "The Short of it : Investor Sentiment and Anomalies", Journal of Financial Economics, 104(2), pp.288~302 (2012)
  43. Tao, X., "Economic Policy Uncertainty and the Cross-section of Corporate Bond Returns", Journal of Fixed Income, 32(1), pp.6~44 (2022)

관련 논문AI추천

이 간행물의 다른 논문 (7건)