The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Earl R Wilson - One of the best experts on this subject based on the ideXlab platform.
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the relative influence of fund based and government wide financial information on Municipal Bond borrowing costs
Journal of Governmental & Nonprofit Accounting, 2014Co-Authors: Jacqueline L Reck, Earl R WilsonAbstract:ABSTRACT: Our study provides evidence of the association between accrual-based financial information provided by the GASB Statement No. 34 reporting model and new issue Municipal Bond borrowing costs. Given the controversy that surrounded the implementation of the GASB Statement No. 34 reporting model, questions that continue to be raised about the usefulness of the model, and recent calls for research on Statement No. 34 by the GASB, our study into the informativeness of the GASB Statement No. 34 model is timely and helpful in informing the GASB decision process. The findings of our study indicate that the Statement No. 34 model provides incremental information to the new issue market beyond that provided by the pre-Statement No. 34 model. Our results indicate that the Statement No. 34 model may allow creditors to better assess issuers' longer-term performance.
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information transparency and pricing in the Municipal Bond secondary market
Journal of Accounting and Public Policy, 2006Co-Authors: Jacqueline L Reck, Earl R WilsonAbstract:Abstract This study examines whether the proliferation of new information sources about Municipal issuers during the 1990s, including annual financial disclosures required by the SEC under its revised Rule 15c2-12, has resulted in greater information transparency and improved pricing in the Municipal Bond secondary market. Unlike the corporate equity and Bond markets, the secondary market for Municipal Bonds has suffered from a lack of frequent and timely disclosures of issuer-specific information. Prior accounting research, using data from the 1980s (e.g., Ingram, R.W., Raman, K.K., Wilson, E.R., 1989. The information in governmental annual reports: A contemporaneous price reaction approach. The Accounting Review 64 (2), 250–268; Ingram, R.W., Wilson, E.R., 1999. Information intermediation and seasoned Municipal Bond yields. Research in Governmental and Nonprofit Accounting 10, 1–31; Reck, J.L., Wilson, E.R., Gotlob, D., Lawrence, C., 2004. Governmental capital markets research in accounting: A review, extension, and directions for future research. Research in Governmental and Nonprofit Accounting 11, 1–33), found that the prices of seasoned Bonds (those already trading in the secondary market) primarily adjust to information disclosed at the time of subsequent new Bond issues of the same entity. Our comparative empirical analysis using data from both the 1990s and 1980s suggests that seasoned Bond prices now impound information throughout the year rather than just adjusting to information disclosed in connection with new issues. This finding is consistent with the rapid proliferation of alternative information sources during the past decade. Our results provide no direct evidence, however, that secondary market prices react to the disclosures required by the SEC since 1995.
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information transparency and pricing in the Municipal Bond secondary market
Journal of Accounting and Public Policy, 2006Co-Authors: Jacqueline Reck, Earl R WilsonAbstract:Abstract This study examines whether the proliferation of new information sources about Municipal issuers during the 1990s, including annual financial disclosures required by the SEC under its revised Rule 15c2-12, has resulted in greater information transparency and improved pricing in the Municipal Bond secondary market. Unlike the corporate equity and Bond markets, the secondary market for Municipal Bonds has suffered from a lack of frequent and timely disclosures of issuer-specific information. Prior accounting research, using data from the 1980s (e.g., Ingram, R.W., Raman, K.K., Wilson, E.R., 1989. The information in governmental annual reports: A contemporaneous price reaction approach. The Accounting Review 64 (2), 250–268; Ingram, R.W., Wilson, E.R., 1999. Information intermediation and seasoned Municipal Bond yields. Research in Governmental and Nonprofit Accounting 10, 1–31; Reck, J.L., Wilson, E.R., Gotlob, D., Lawrence, C., 2004. Governmental capital markets research in accounting: A review, extension, and directions for future research. Research in Governmental and Nonprofit Accounting 11, 1–33), found that the prices of seasoned Bonds (those already trading in the secondary market) primarily adjust to information disclosed at the time of subsequent new Bond issues of the same entity. Our comparative empirical analysis using data from both the 1990s and 1980s suggests that seasoned Bond prices now impound information throughout the year rather than just adjusting to information disclosed in connection with new issues. This finding is consistent with the rapid proliferation of alternative information sources during the past decade. Our results provide no direct evidence, however, that secondary market prices react to the disclosures required by the SEC since 1995.
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implications of gasb s new reporting model for Municipal Bond analysts and managers
Public Budgeting & Finance, 2001Co-Authors: Earl R Wilson, Susan C KattelusAbstract:This article explores the implications of the new Government Accounting Standards Board (GASB) Statement No. 34 reporting model for Municipal Bond analysts and managers. Bond analysts and state and local government managers have overlapping objectives for the use of governmental financial information, but managers also face the costly task of implementing the new model. The new and improved financial information provided by the new reporting model will permit users of the information to better understand a government's long-term and short-term financial position and changes in financial position. The new model also has important ramifications for evaluating performance, particularly regarding the reporting of net costs for each program or function.
Ethan Namvar - One of the best experts on this subject based on the ideXlab platform.
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modeling Municipal yields with and without Bond insurance
Management Science, 2019Co-Authors: Albert Lee Chun, Ethan NamvarAbstract:We develop an intensity-based model of Municipal yields, making simultaneous use of the credit default swap premiums of the insurers and both insured and uninsured Municipal Bond transactions. We e...
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modeling Municipal yields with and without Bond insurance
Social Science Research Network, 2017Co-Authors: Albert Lee Chun, Ethan NamvarAbstract:We develop an intensity-based model of Municipal yields with (and without) Bond insurance, making simultaneous use of the credit default swap (CDS) premiums of the insurers and both insured and uninsured Municipal Bond transactions. We estimate the model using 61 issuers with relatively continuous Municipal Bond trading from July 2007 to June 2008, and decompose the Bond yield based on the estimated parameters. The model fits Municipal yields as well as Duffee (1999)'s for corporate yields, and the decomposition reveals that the liquidity component plays a dominant role in the Municipal yield spread, and is somewhat larger for insured Bonds than uninsured Bonds. Towards the end of the sample period, our model reproduces the "yield inversion" phenomenon documented by Bergstresser et al. (2010).
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a comparison of Municipal Bond index weighting schemes
Social Science Research Network, 2010Co-Authors: Vineer Bhansali, Ethan Namvar, Kuntara Pukthuanthong, Shane D ShepherdAbstract:Valuation-indifferent weighting has gained significant interest as a strategy for creating alternative indexes. The weighting scheme has empirical support for equities, investment-grade, high-yield, and emerging market Bonds. Portfolio weights formed based on prices or market capitalizations tend to be positively correlated with pricing errors. In contrast, valuation-indifferent weighting or fundamental weighting schemes do not exhibit this positive correlation between portfolio weights and pricing errors. As a result, a price-weighted portfolio would have greater portfolio weights committed to overvalued equities versus a non-price-weighted portfolio, which results in sub-optimal performance. In this study, we apply the same concept of a valuation-indifferent weighting to Municipal Bonds and show that it outperforms traditional weighted benchmarks. The degree of outperformance is higher during bear markets, high volatility, and falling interest rate periods. Alphas from three to five factors Bond pricing model of the returns of fundamental index muni remain significant.
Michael S Piwowar - One of the best experts on this subject based on the ideXlab platform.
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secondary trading costs in the Municipal Bond market
Journal of Finance, 2006Co-Authors: Lawrence Harris, Michael S PiwowarAbstract:Using new econometric methods, we separately estimate average transaction costs for over 167,000 Bonds from a 1-year sample of all U.S. Municipal Bond trades. Municipal Bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, Municipal Bond trades are substantially more expensive than similar-sized equity trades. We attribute these results to the lack of Bond market price transparency. Additional cross-sectional analyses show that Bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler Bonds. Copyright 2006 by The American Finance Association.
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secondary trading costs in the Municipal Bond market
Journal of Finance, 2006Co-Authors: Lawrence Harris, Michael S PiwowarAbstract:Using new econometric methods, we separately estimate average transaction costs for over 167,000 Bonds from a 1-year sample of all U.S. Municipal Bond trades. Municipal Bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, Municipal Bond trades are substantially more expensive than similar-sized equity trades. We attribute these results to the lack of Bond market price transparency. Additional cross-sectional analyses show that Bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler Bonds.
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Municipal Bond liquidity
Social Science Research Network, 2004Co-Authors: Lawrence Harris, Michael S PiwowarAbstract:Using new econometric methods, we separately estimate average transaction costs, as a function of trade size, for over 167,000 Bonds from a one-year sample of all U.S. Municipal Bond trades. Unlike in equities, Municipal Bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Municipal Bond trades are also substantially more expensive than similar sized equity trades. We attribute these results to the general lack of price transparency in the Bond markets. Additional cross-sectional analyses show that Bond liquidity increases with credit quality and decreases with instrument complexity, time to maturity, and time since issuance. The results suggest that investors, and perhaps ultimately issuers, could benefit if issuers issued simpler Bonds.
Robert A Van Ness - One of the best experts on this subject based on the ideXlab platform.
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Municipal Bond trading information relatedness and natural disasters
Journal of Trading, 2018Co-Authors: Brittany Cole, Bonnie F Van Ness, Robert A Van NessAbstract:1. Brittany Cole 1. is an assistant professor of finance at Tennessee Tech University in Cookeville, TN. (bcole{at}tntech.edu) 2. Bonnie Van Ness 1. is the Otho Smith Professor of Finance at the University of Mississippi in University, MS. (bvanness{at}bus.olemiss.edu) 3. Robert Van
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Municipal Bond trading information relatedness and natural disasters
Social Science Research Network, 2017Co-Authors: Brittany Cole, Bonnie F Van Ness, Robert A Van NessAbstract:We study Municipal Bond market activity before, during, and after natural disasters (tornados, wildfires, and hurricanes/tropical storms). Using a sample of Municipal Bond trades from 2010 to 2013, we find that natural disasters influence Municipal Bond trading. Specifically, we show that spreads are lower on both tornado and wildfire event days and during following five trading days than during the preceding five trading days. While we do not document a relation between hurricane events and spreads, we show that spreads fall during the five days following the hurricane compared to the five trading days before the event. Generally, we document an increase in dollar volume in the five trading days following all three types of natural disasters. We also determine that linkages exist between the Bonds affected by natural disasters and related Bonds.
Dwight V Denison - One of the best experts on this subject based on the ideXlab platform.
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the effects of high quality financial reporting on Municipal Bond ratings evidence from us local governments
Local Government Studies, 2020Co-Authors: Jinsol Park, Hakyeon Lee, J S Butler, Dwight V DenisonAbstract:While credit rating agencies mention that a government factor is one criterion for assessing Municipal Bond ratings, current studies on credit ratings offer relatively little evidence as to how the...
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indirect and direct subsidies for the cost of government capital comparing tax exempt Bonds and build america Bonds
National Tax Journal, 2014Co-Authors: Gao Liu, Dwight V DenisonAbstract:Using data from the California primary market, we fnd that on average Build America Bonds (BABs) have after-subsidy interest rates approximately 72 basis points lower than tax-exempt Bonds, and the savings increase with Bond maturity. The implied tax rate for the marginal Municipal Bond investor is 25 percent, which is also the neutral subsidy rate at which Municipal Bond issuers are indifferent between issuing tax-exempt Bonds and BABs. Analysis of paired tax-exempt Bonds and BABs issued by the same issuers on the same dates suggests a comparable implied tax rate and net after-subsidy savings of about 65 basis points.
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is management performance a factor in Municipal Bond credit ratings the case of texas school districts
Public Budgeting & Finance, 2007Co-Authors: Dwight V Denison, Wenli Yan, Zhirong Jerry ZhaoAbstract:Municipal Bond ratings are an important determinant of interest costs that a Bond issuer must pay. The three major Bond rating firms profess that economic and management factors are considered in assigning a Bond rating. The management component is of particular interest to public administrators because they can exert more direct control over management factors. Management factors have not been studied empirically in the literature because management performance is generally difficult to quantify. However, the public education sector has seen advances in performance measures and at the same time has increasingly relied on Municipal Bonds to finance construction. The ordered probit estimation provides support that management performance, as measured in the districts performance on standardized test scores and success in student college admission rates, does influence Texas school district Bond credit ratings.
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an empirical examination of the determinants of insured Municipal Bond issues
Public Budgeting & Finance, 2003Co-Authors: Dwight V DenisonAbstract:Research demonstrates that there are interest cost savings associated with Municipal Bond insurance, and yet only half of the Bonds are issued with insurance. The theoretical determinants of Bond insurance are discussed and evaluated empirically through logistic regression. Statistically significant Bond attributes are the underlying credit risk, maturity, par value, and a call option. In addition, regional market characteristics at the time of issue and market segmentations are determinants of Bond insurance. These findings strengthen the hypotheses that insurance mitigates market segmentation and that insurers function as delegated monitors of Bond quality.
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Bond insurance utilization and yield spreads in the Municipal Bond market
Public Finance Review, 2001Co-Authors: Dwight V DenisonAbstract:In recent years, commercial insurance companies insured nearly half of the annual issue of government Bonds against Bond default. This article illustrates that one impetus for the increasing popularity of Municipal Bond insurance is the segmentation of the Municipal Bond market into two markets: one characterized by an excess demand for low-risk credits and the other characterized by an excess supply of higher risk credits. The empirical findings indicate that the volume of insured Bonds issued each quarter is influenced by the average yield spread between high- and low-risk Municipal Bonds and by the holdings of Municipal Bonds at financial institutions. On the other hand, the volume of insured Municipal Bonds issued in a quarter influences the average spread among high- and low-risk Bonds. These findings underscore market segmentation and investors’ risk aversion as forces motivating the utilization of Municipal Bond insurance.
