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The Accrual Anomaly in the Corporate Bond Market : Korean Evidence

Title
The Accrual Anomaly in the Corporate Bond Market : Korean Evidence
Author
강형구
Keywords
Accrual Anomaly; Corporate Bonds; Earnings Fixations Hypothesis
Issue Date
2018-08
Publisher
한국재무학회
Citation
재무연구, v. 31, no. 3, page. 399-414
Abstract
Almost all prior studies on the Korean accrual anomaly focus on the stock market. In contrast to prior studies, our study examines whether or not the accrual anomaly exists in the Korean corporate bond market. Using the corporate bond data traded in the Korean market from 2000 to 2011, we find supporting evidence of the accrual anomaly in the Korean corporate bond market using three approaches: (1) hedge portfolio return test, (2) the Fama-French five factor (three equity market factors plus two bond market factors) time series regression test, and (3) the Fama-MacBeth cross sectional test. Next, we examine whether the unique Korean corporate governance system, chaebol, affects the magnitude of the accrual mispricing in the corporate bond market and find evidence that the accrual anomaly exists only for bonds issued by non-chaebol firms. This finding indicates that bond investors’ expectation about explicit or implicit subsidy from chaebol-affiliated subsidiaries dampens accrual mispricing of a chaebol firm. Taken together, our results suggest that investors in the Korean corporate bond market fixate on earnings, in particular, for non-chaebol firms.
URI
http://www.earticle.net/Article.aspx?sn=335583https://repository.hanyang.ac.kr/handle/20.500.11754/119598
ISSN
1229-0351
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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