Testing the credit-market-timing hypothesis using counterfactual issuing dates
Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance,...
Ausführliche Beschreibung
Autor*in: |
Frank, Murray Z. [verfasserIn] Nezafat, Mahdi [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2019 |
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Schlagwörter: |
Betriebliche Finanzwirtschaft / Unternehmensfinanzierung / Theorie / Welt |
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Schlagwörter: |
Übergeordnetes Werk: |
Enthalten in: Journal of corporate finance - [Amsterdam] : Elsevier Science, 1994, 58, Seite 187-207 |
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Übergeordnetes Werk: |
volume:58 ; pages:187-207 |
DOI / URN: |
10.1016/j.jcorpfin.2019.05.005 |
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Katalog-ID: |
ELV00291154X |
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10.1016/j.jcorpfin.2019.05.005 doi (DE-627)ELV00291154X (ELSEVIER)S0929-1199(18)30085-3 DE-627 ger DE-627 rda eng Frank, Murray Z. verfasserin aut Testing the credit-market-timing hypothesis using counterfactual issuing dates 2019 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. 1.1\x Betriebliche Finanzwirtschaft (DE-2867)12215-5 stw 1.2\x Unternehmensfinanzierung (DE-2867)12205-1 stw 1.3\x Theorie (DE-2867)19073-6 stw 1.4\x Welt (DE-2867)16809-5 stw Credit market timing Behavioral finance Corporate bond market Nezafat, Mahdi verfasserin aut Enthalten in Journal of corporate finance [Amsterdam] : Elsevier Science, 1994 58, Seite 187-207 Online-Ressource (DE-627)306353350 (DE-600)1496802-2 (DE-576)081860633 0929-1199 nnns volume:58 pages:187-207 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-05001 SKW AR 58 187-207 |
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10.1016/j.jcorpfin.2019.05.005 doi (DE-627)ELV00291154X (ELSEVIER)S0929-1199(18)30085-3 DE-627 ger DE-627 rda eng Frank, Murray Z. verfasserin aut Testing the credit-market-timing hypothesis using counterfactual issuing dates 2019 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. 1.1\x Betriebliche Finanzwirtschaft (DE-2867)12215-5 stw 1.2\x Unternehmensfinanzierung (DE-2867)12205-1 stw 1.3\x Theorie (DE-2867)19073-6 stw 1.4\x Welt (DE-2867)16809-5 stw Credit market timing Behavioral finance Corporate bond market Nezafat, Mahdi verfasserin aut Enthalten in Journal of corporate finance [Amsterdam] : Elsevier Science, 1994 58, Seite 187-207 Online-Ressource (DE-627)306353350 (DE-600)1496802-2 (DE-576)081860633 0929-1199 nnns volume:58 pages:187-207 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-05001 SKW AR 58 187-207 |
allfields_unstemmed |
10.1016/j.jcorpfin.2019.05.005 doi (DE-627)ELV00291154X (ELSEVIER)S0929-1199(18)30085-3 DE-627 ger DE-627 rda eng Frank, Murray Z. verfasserin aut Testing the credit-market-timing hypothesis using counterfactual issuing dates 2019 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. 1.1\x Betriebliche Finanzwirtschaft (DE-2867)12215-5 stw 1.2\x Unternehmensfinanzierung (DE-2867)12205-1 stw 1.3\x Theorie (DE-2867)19073-6 stw 1.4\x Welt (DE-2867)16809-5 stw Credit market timing Behavioral finance Corporate bond market Nezafat, Mahdi verfasserin aut Enthalten in Journal of corporate finance [Amsterdam] : Elsevier Science, 1994 58, Seite 187-207 Online-Ressource (DE-627)306353350 (DE-600)1496802-2 (DE-576)081860633 0929-1199 nnns volume:58 pages:187-207 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-05001 SKW AR 58 187-207 |
allfieldsGer |
10.1016/j.jcorpfin.2019.05.005 doi (DE-627)ELV00291154X (ELSEVIER)S0929-1199(18)30085-3 DE-627 ger DE-627 rda eng Frank, Murray Z. verfasserin aut Testing the credit-market-timing hypothesis using counterfactual issuing dates 2019 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. 1.1\x Betriebliche Finanzwirtschaft (DE-2867)12215-5 stw 1.2\x Unternehmensfinanzierung (DE-2867)12205-1 stw 1.3\x Theorie (DE-2867)19073-6 stw 1.4\x Welt (DE-2867)16809-5 stw Credit market timing Behavioral finance Corporate bond market Nezafat, Mahdi verfasserin aut Enthalten in Journal of corporate finance [Amsterdam] : Elsevier Science, 1994 58, Seite 187-207 Online-Ressource (DE-627)306353350 (DE-600)1496802-2 (DE-576)081860633 0929-1199 nnns volume:58 pages:187-207 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-05001 SKW AR 58 187-207 |
allfieldsSound |
10.1016/j.jcorpfin.2019.05.005 doi (DE-627)ELV00291154X (ELSEVIER)S0929-1199(18)30085-3 DE-627 ger DE-627 rda eng Frank, Murray Z. verfasserin aut Testing the credit-market-timing hypothesis using counterfactual issuing dates 2019 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. 1.1\x Betriebliche Finanzwirtschaft (DE-2867)12215-5 stw 1.2\x Unternehmensfinanzierung (DE-2867)12205-1 stw 1.3\x Theorie (DE-2867)19073-6 stw 1.4\x Welt (DE-2867)16809-5 stw Credit market timing Behavioral finance Corporate bond market Nezafat, Mahdi verfasserin aut Enthalten in Journal of corporate finance [Amsterdam] : Elsevier Science, 1994 58, Seite 187-207 Online-Ressource (DE-627)306353350 (DE-600)1496802-2 (DE-576)081860633 0929-1199 nnns volume:58 pages:187-207 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-05001 SKW AR 58 187-207 |
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Enthalten in Journal of corporate finance 58, Seite 187-207 volume:58 pages:187-207 |
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Enthalten in Journal of corporate finance 58, Seite 187-207 volume:58 pages:187-207 |
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testing the credit-market-timing hypothesis using counterfactual issuing dates |
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Testing the credit-market-timing hypothesis using counterfactual issuing dates |
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Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. |
abstractGer |
Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. |
abstract_unstemmed |
Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. Only CDS spreads are lower on days when privately placed bonds are issued. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">ELV00291154X</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230524142401.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">230430s2019 xx |||||o 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1016/j.jcorpfin.2019.05.005</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)ELV00291154X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ELSEVIER)S0929-1199(18)30085-3</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Frank, Murray Z.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Testing the credit-market-timing hypothesis using counterfactual issuing dates</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2019</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Do bond issuers successfully time the market? To answer this question, we compare market conditions on an issue day with conditions on days in a window around the issue day. We find that compared with windows of 21 days around issue days, bond issuers time the risk-free rate better than pure chance, with an average gain of 8 basis points; bond issuers also time the CDS spread better than pure chance, with an average gain of 12 basis points. Issuers who issue bonds more frequently do better than less frequent issuers do. Both risk-free rates and CDS spreads are lower on days when shelf-registered bonds are issued than they are on the days surrounding the issue days. 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