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Essays in Financial Economics: Announcement Effects in Fixed Income Markets University of Massachusetts Amherst ScholarWorks@UMass Amherst Doctoral Dissertations Dissertations and Theses October 2018 Essays in Financial Economics: Announcement Effects in Fixed Income Markets James J. Forest University of Massachusetts Amherst Follow this and additional works at: https://scholarworks.umass.edu/dissertations_2 Part of the Applied Statistics Commons, Econometrics Commons, Finance Commons, Finance and Financial Management Commons, Macroeconomics Commons, and the Statistical Models Commons Recommended Citation Forest, James J., "Essays in Financial Economics: Announcement Effects in Fixed Income Markets" (2018). Doctoral Dissertations. 1339. https://doi.org/10.7275/12736173 https://scholarworks.umass.edu/dissertations_2/1339 This Open Access Dissertation is brought to you for free and open access by the Dissertations and Theses at ScholarWorks@UMass Amherst. It has been accepted for inclusion in Doctoral Dissertations by an authorized administrator of ScholarWorks@UMass Amherst. For more information, please contact [email protected]. Essays in Financial Economics: Announcement Effects in Fixed Income Markets A Dissertation Presented by James J. Forest II Submitted to the Graduate School of the University of Massachusetts Amherst in partial fulfillment of the requirements for the degree of DOCTOR OF PHILOSOPHY September 2018 Management © Copyright by James J. Forest II 2018 All Rights Reserved Essays in Financial Economics: Announcement Effects in Fixed Income Markets A Dissertation Presented By JAMES J. FOREST II Approved as to style and content by: _________________________________________________ Hossein B. Kazemi, Chair _________________________________________________ Benjamin Branch, Member _________________________________________________ Sanjay Nawalkha, Member _________________________________________________ Manhaz Madavi , Outside Member _________________________________________________ George Milne, Ph.D. Program Director Isenberg School of Management ACKNOWLEDGEMENTS I would like to express my sincere gratitude to my Doctoral Dissertation Committee Chairman Professor Hussein B. Kazemi for many years of encouragement, advice, guidance and assistance. Likewise, I have benefitted immensely from the many suggestions, edits, advice and encouragement of Professor Benjamin Branch during my writing of this document. Also, special thanks to Professor Sanjay Nawalkha, Professor Manhaz Madavi and Professor Nelson Lacey for your insight and support. Many thanks to three particular colleagues in Chip Norton, Kim Rupert, and Walter Frank. Special additional thanks to Walter Frank for the inspiration to pursue graduate studies at the Doctoral level. Walter you captured my imagination and sparked my intellectual curiosity. I carry you in my heart as I cross the finish line, my friend. I also thank the Center for International Securities and Derivatives Markets (CISDM), Isenberg School of Management, and the University of Massachusetts for the many years of supporting my efforts. Special additional thanks to Professor Anthony Butterfield and Dean Emeritus Thomas O’Brien. I thank the people at the Graduate School for their support. Special thanks to the People at MRC and Easter Seals, Jim M., Kim S. and Jeff M. Also, to my classmates, you inspired me and challenged me to rise to your level of excellence. Particular thanks to Lixiong, Ying, Cosette, Hyuna, Iuliana, Scott and others. I thank my friends and family. In no particular order: Annette, Jillian, Jerry, Aunt Dottie, Cheryl, Marion, Frank, Uncle Tim, Barbara, Steve P., Caitlyn M., Tracie G., Jill H., Nils and Raylene, Carol, George, Francesca, Dr. Butler, John, Mary and David, Tom, Dave M, Michelle, Brian B., Shauna, Nadine, Beth, Ashley, Russ, Mark and Ashley R., Matt and Sarah, Kate, MW and Jamie. Thanks to those lost along the way: Kim, Rex, Chrissy G. and Dave – my heart breaks that you are not here to share this with me. Of course, thanks Mom and Dad. Of course, also, thank you to my little research assistants Gus and Lucky! Gussie, you started the journey with me and will be with me always… TABLE OF CONTENTS ACKNOWLEDGEMENTS ........................................................................................................... iv LIST OF TABLES ........................................................................................................................ vii LIST OF FIGURES ....................................................................................................................... ix LIST OF EQUATIONS ................................................................................................................ vii LIST OF MODELS........................................................................................................................ ix CHAPTER PAGE I. INTRODUCTION ............................................................................................................... 1 A. Methodological Aspects – Historical Perspective of the LSE Approach......................... 2 B. The Effect of Macroeconomic Announcements on Credit Market .................................. 5 C. A High-Frequency Analysis of Trading Activity in the Corporate Bond Market ........... 8 D. The Effect of Treasury Auction Results on Interest Rates: The 1900s Experience ....... 10 II. THE EFFECT OF MACROECONOMIC ANNOUNCEMENTS ON CREDIT MARKETS:AN AUTOMETRIC GENERAL-TO-SPECIFIC ANALYSIS OF THE GREENSPAN ERA ........................................................................................... 14 A. Abstract .......................................................................................................................... 14 B. Introduction .................................................................................................................... 15 C. Review of Macro-Announcement Effect Literature ....................................................... 19 1. Treasury Markets ........................................................................................................ 20 2. Equity Markets ........................................................................................................... 22 3. Data Sources ............................................................................................................... 23 D. Preliminary Examination of Asymmetries in Treasury Returns .................................... 25 E. Gets Modelling of Macroeconomic Announcement Effects .......................................... 29 1. Indicator Saturation Results ........................................................................................ 34 2. Parameter Stability ..................................................................................................... 40 3. Estimation Results ...................................................................................................... 42 4. Dealing with Bias – The Known vs. the Unknown .................................................... 46 F. Encompassing Tests ....................................................................................................... 50 v G. Conclusion ...................................................................................................................... 55 III. A HIGH-FREQUENCY ANALYSIS OF TRADING ACTIVITY IN THE CORPORATE BOND MARKET: MACRO ANNOUNCEMENTS OR SEASONALITY? .............................................................................................................. 55 A. Abstract .......................................................................................................................... 55 B. Introduction .................................................................................................................... 57 C. Corporate Bond Market Structure and Literature Review ............................................. 60 D. Description of Data ........................................................................................................ 66 1. Dependent Variables: Corporate Bond Performance Data & Trading Activity ......... 66 2. Independent Variables: Economic Survey, Ratings & Seasonal Data ....................... 68 E. Preliminarily Analysis .................................................................................................... 70 F. Empirical Methodology.................................................................................................. 73 G. Daily Regression Results ............................................................................................... 76 1. Performance Analysis ................................................................................................. 76 2. Analysis of Trading Activity – A. Total Trades & Large-Volume Trades ................ 83 3. Analysis of Trading Activity – B. AAA and AAA Financial Trading Activity ......... 86 4. Analysis of Trading Activity – C. Intermediated Trades ........................................... 88 H. Intraday Trading Activity ............................................................................................... 89 I. Conclusions .................................................................................................................... 92 IV. THE EFFECT OF TREASURY AUCTION RESULTS ON INTEREST RATES: THE 1990S EXPERIENCE ................................................................................ 94 A. Abstract .........................................................................................................................
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