Luís Menon José
Master's – Prectability of the corporate bonds market at firm level
Advisor: Prof. Dr. Alan de Genaro Dario
Comission: Profs. Drs. Jose Carlos de Souza Santos, Antônio Gledson de Carvalho and Joelson Oliveira Sampaio
Class: 217, FEA-5
This project analyzes the secondary market of Brazilian corporate bonds, and how it relates to the bond market and the stock market. I built a database that crosses information from corporate bonds with stocks at the firm level as well as public bonds by maturity, totaling 2024 monthly observations between 2012 and 2018. The results show that the variation of the yield of the corporate bond can be explained by: (I) variation of the yield of the public bond; (II) for the lagged return of the stock, suggesting that there is a flow of information from the stock market to the bond market; and (iii) since 2018, with an increase in the number of trades, the lagged return loses its explanatory power. Instead, the contemporaneous return becomes significant, as well as other market variables such as the return of Bovespa index and the volatility indexes. This indicates that the corporate bond market became more dynamic, reacting to new information faster.
*Abstract provided by the author