Ликвидность облигаций. Эффективность новой меры ликвидности от аналитиков "Томсон Рейтер" для объяснения различий в доходности на российском облигационном рынке
The article analyzes the Russian and world bond markets by means of the analysis of dynamics of the capital attractiveness in different currencies for investors and on different conditions (variable interest rates, convertible bonds, Eurobonds) in the crisis and post-crisis periods. The authors consider the markets of stock and loan (bonded) capital according to investment attractiveness. The paper reveals the tendencies in supply and demand formation on segments of bonds in the world and local markets, and also in the levels of profitability of corporate issuers bonds for different risk levels. The work analyzes the tendencies in the bond markets from the point of view of two groups of interested persons: investors and issuers.
In this paper for the first time on the base of the non-parametric Data Envelopment Analysis (DEA) method the authors build and test portfolios in the Russian bond market. Using DEA we perform integral evaluation and rank by optimality (efficiency) outstanding ruble corporate bonds from the perspective of a private investor. Our original algorithm for building an optimal bond portfolio includes two analytical procedures: first we identify the determinants of the yield to maturity of ruble corporate bonds for a diversified sample of real sector companies from 2008 to 2015, then we apply the DEA method for this sample in order to find the optimal set of bonds for the portfolio. At the final stage we test (for 2014—2015) an investment strategy based on picking for the portfolio the ruble corporate bonds that reached the efficiency frontier. In order to identify the determinants of ruble corporate bond yields we analyze a set of macroeconomic and firm-level (financial and non-fundamental) factors, characteristics of bond issues using econometric methods. For the first time in the Russian bond market we consider not only current but also expected inflation and GDP growth, risk indicators (the volatility index RTS VIX as a proxy). We identify the optimal bond issues (the bond issues that reached the efficiency frontier) taking into account a set of different factors: yield to maturity, duration and liquidity of bond issues, credit risk indicators of bond issuers. The results of a regression analysis confirm our hypothesis that yield to maturity is significantly influenced by revenue of a bond issuer, the repo eligible factor (inclusion of a bond issue in the Lombard list of the Bank of Russia), the government’s share in the equity, the bond issuer’s debt burden indicators, the level of current and expected inflation. The efficiency (optimality) frontier mainly consists of bond issues of large companies with the government’s participation in the equity. Our hypothesis that investing in the bond issues on the efficiency frontier can beat the bond benchmarks’ returns and “return / volatility” ratios are confirmed in part, for the period of 2014 characterized by a decrease in prices of ruble bonds.
In the 21st century intellectual capital (IC) is considered as a source of competitive advantages and as a factor increasing the enterprise value. The question about the significance of IC for reducing the cost of debt in the Russian market is still open. Our paper is devoted to the identification of the process and innovative IC indicators signalizing financial benefits. We consider the transparent and market element of debt – corporate bonds outstanding. The sample consists of 299 observations on 93 Russian companies of the non-financial sector in the period from 2010 to 2015. We use the method of regression analysis on the unbalanced panel. Our empirical research showed that firms have an opportunity to reduce the cost of debt by increasing elements of IC. IC elements affect the cost of publicly traded debt differently. The following factors have a significant impact on bond yields: indicators of intangible assets, R&D expenses, the composition of a team of managers, the size of the Board of directors. Possession of intangible assets and an increase in the number of patents raises yields of quoted corporate bonds. Existence of R&D for Russian companies is a positive signal for creditors – yields of corporate bonds decline. The original conclusion of our study – sole executive body leads to an increase in the cost of public debt. The greater size of the Board of directors contributes to the development of a balanced strategy and is recognized by market investors: yields of outstanding corporate bonds become lower.