Αποδόσεις εταιρικών ομολόγων και επενδυτική στρατηγική αμοιβαίων κεφαλαίων

Τσακωνάκη, Ελένη

Corporate bond yields and institutional investor styles

Master Thesis

Author

Τσακωνάκη, Ελένη

Date

2018-07-31

Abstract

The aim of the present work is, to examine the relation of expected corporate bond returns with fund style concentration in stock ownership. Concentration is measured by the Herfindahl index H of the shares of different investments styles in the ownership of stocks. Research has been made that deals with the concentration of ownership in different investment styles and has found that there is an association with expected stock returns. In this paper, it is attempted to investigate whether there is a similar link with corporate bond yields. In a sample of 2785 corporate bond issues from 207 US companies between July 2002 and June 2016, the econometric methodology of Fama and French (1993) was applied and using appropriate control variables in line with Hardouvelis & Karalas (2017), Gebhardta et al. (2005) and Lin et al. (2010). The results have shown that the lower concentration of investment styles per share, is associated with higher returns of corporate bonds of the company itself, confirming the hypothesis. It was also found that the lower percentage of institutional investors is associated with higher expected returns on corporate bonds, confirming the second research case. In addition, it was found that, the institutional investors' ownership ratio was more statistically significant than the dispersion of investment styles, a relationship that did not provide any additional informative content.These findings show that the corporate bond market is working effectively in terms of risk perception and that investors should look at the percentage of ownership of institutional investors in a company to predict future returns on its corporate bonds.

Postgraduate Studies Programme

Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική Διοικητική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/11446

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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