2017年9月7日
Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market
Proceedings - International Computer Software and Applications Conference
- ,
- ,
- ,
- 巻
- 2
- 号
- 開始ページ
- 631
- 終了ページ
- 636
- 記述言語
- 英語
- 掲載種別
- 研究論文(国際会議プロシーディングス)
- DOI
- 10.1109/COMPSAC.2017.95
- 出版者・発行元
- IEEE Computer Society
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.
- ID情報
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- DOI : 10.1109/COMPSAC.2017.95
- ISSN : 0730-3157
- SCOPUS ID : 85032878479