Finance and Credit

The influence of seasonality in the primary market of corporate bonds of the BRICS nations

Vol. 24, Iss. 11, NOVEMBER 2018

Received: 8 August 2018

Received in revised form: 22 August 2018

Accepted: 5 September 2018

Available online: 29 November 2018

Subject Heading: Securities market

JEL Classification: E43, E44, G12, G18

Pages: 2523–2534

Sultanov I.R. National Research University Higher School of Economics, Moscow, Russian Federation

Subject This paper analyzes the influence of seasonality on the yield spreads of real economy corporate bonds of the BRICS countries over the sample period from 2006 to 2016.
Objectives The paper aims to reveal and determine the seasonal component in yield spreads of corporate bonds of the BRICS countries.
Methods For the study, we constructed various econometric models, using the least squares technique. The research is based on the data in the primary market of corporate bonds.
Results The article presents four econometric models. The study corroborates the hypothesis about seasonality in the primary market of corporate bonds of the BRICS countries.
Conclusions The results obtained are consistent with the assumption of seasonality in the market of corporate bonds of the BRICS countries. The identified seasonal component has little to do with the existing tax period. The results are partially different from the results obtained in similar works, studying the influence of seasonality in other bond markets.

Keywords: corporate bonds, yield spread, BRICS countries, seasonality, bond market


  1. Matsui K. Accounting Year-end Dispersion and Seasonality in the Japanese Corporate Bond Market. Applied Economics, 2011, vol. 43, iss. 26, pp. 3733–3744. URL: Link
  2. Mansi S., Maxwell W., Miller D. Analyst Forecast Characteristics and the Cost of Debt. Review of Accounting Studies, 2011, vol. 16, iss. 1, pp. 116–142. URL: Link
  3. Shuto A., Kitagawa N. The Effect of Managerial Ownership on the Cost of Debt: Evidence from Japan. Journal of Accounting, Auditing & Finance, 2011, vol. 26, iss. 3, pp. 590–620.
  4. Venkiteshwaran V. Are Underrated Bonds Underpriced? Biased Ratings and Corporate Bond Pricing. Banking & Finance Review, 2013, vol. 5, iss. 1, pp. 77–89.
  5. Blankespoor E., Linsmeier T.J., Petroni K.R. et al. Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk? Accounting Review, 2013, vol. 88, iss. 4, pp. 1143–1177. URL: Link
  6. Ambrose B.W., Cheng Y., Dolly King T.-H. The Financial Crisis and Temporary Liquidity Guarantee Program: Their Impact on Fixed-income Markets. Journal of Fixed Income, 2013, vol. 23, iss. 2, pp. 5–26. URL: Link
  7. Elliott J., Ghosh A., Moon D. Asymmetric Valuation of Sustained Growth by Bond- and Equity-Holders. Review of Accounting Studies, 2010, vol. 15, iss. 4, pp. 833–878. URL: Link
  8. Shaw K. CEO Incentives and the Cost of Debt. Review of Quantitative Finance & Accounting, 2012, vol. 38, iss. 3, pp. 323–346. URL: Link
  9. Nashikkar A., Subrahmanyam M.G., Mahanti S. Liquidity and Arbitrage in the Market for Credit Risk. Journal of Financial & Quantitative Analysis, 2011, vol. 46, iss. 3, pp. 627–656. URL: Link
  10. Cai K.N. Effect of Being a Fallen Angel on Bond Ratings and Yields. Journal of Trading, 2013, vol. 8, iss. 2, pp. 7–13.
  11. Militskova T.M. [The impact of specific determinants on corporate bond yield spreads]. Korporativnye finansy = Journal of Corporate Finance Research, 2013, vol. 7, iss. 2, pp. 46–63. URL: Link (In Russ.)
  12. Kecskés A., Mansi S.A., Zhang A. (Jianzhong). Are Short Sellers Informed? Evidence from the Bond Market. Accounting Review, 2013, vol. 88, iss. 2, pp. 611–639. URL: Link
  13. Oikonomou I., Brooks C., Pavelin S. The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings. Financial Review, 2014, vol. 49, iss. 1, pp. 49–75. URL: Link
  14. Hibbert A.M., Pavlova I., Barber J. et al. Credit Spread Changes and Equity Volatility: Evidence from Daily Data. Financial Review, 2011, vol. 46, iss. 3, pp. 357–383. URL: Link
  15. Huang H.H., Huang H.-Y., Oxman J.J. Stock Liquidity and Corporate Bond Yield Spreads: Theory and Evidence. Journal of Financial Research, 2015, vol. 38, iss. 1, pp. 59–91.
  16. Jin Y.C., Gerard G. Announcement Effect on the Credit Spreads of US Dollar Malaysian Bonds. Review of Pacific Basin Financial Markets & Policies, 2011, vol. 14, iss. 3, pp. 449–484. URL: Link
  17. Gopalan R., Song F., Yerramilli V. Debt Maturity Structure and Credit Quality. Journal of Financial & Quantitative Analysis, 2014, vol. 49, iss. 4, pp. 817–842. URL: Link
  18. Chuluun T., Prevost A., Puthenpurackal J. Board Ties and the Cost of Corporate Debt. Financial Management, 2014, vol. 43, iss. 3, pp. 533–568. URL: Link
  19. Chiou C.-L., Hung M.-W., Shu P.-G. Foreign Direct Investment in Emerging Markets: Bondholders' Perspective. Emerging Markets Finance & Trade, 2013, vol. 49, pp. 5–16.
  20. Chen T.-K., Liao H.-H., Huang H.-C. Macroeconomic Risks of Supply Chain Counterparties and Corporate Bond Yield Spreads. Review of Quantitative Finance & Accounting, 2014, vol. 43, iss. 3, pp. 463–481. URL: Link
  21. Tsung-Kang Chen, Yi-Ping Liao. The Economic Consequences of Disclosure Quality under SFAS No. 131. Accounting Horizons, 2015, vol. 29, iss. 1, pp. 1–22. URL: Link
  22. McBrady M.R., Mortal S., Schill M.J. Do Firms Believe in Interest Rate Parity? Review of Finance, 2010, vol. 14, iss. 4, pp. 695–726.

View all articles of issue


ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 24, Iss. 11
November 2018