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All Journal Jurnal Keuangan dan Perbankan Binus Business Review Prosiding Working Papers Series In Management Jurnal Bakti Masyarakat Indonesia
Siti Saadah
Universitas Katolik Indonesia Atma Jaya
Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Social Sciences Other

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Journal : Prosiding Working Papers Series In Management

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ANALISIS YIELD SPREAD OBLIGASI BERDASARKAN FAKTOR DEFAULT DAN FAKTOR NON-DEFAULT : STUDI EMPIRIK PADA OBLIGASI KORPORASI DI SEKTOR KEUANGAN Anita Giovanni; Siti Saadah
Prosiding Working Papers Series In Management Vol 10, No 1 (2018): Prosiding Working Papers Series In Management
Publisher : Prosiding Working Papers Series In Management

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Abstract

Bond is a financial assets investment instrument in capital market that is relatively new when compared to stock. In Indonesia, the research related to bonds, especially yield spread is very limited, thus it encourages author to analyze yield spread behavior based on several predictors such as SBI rate, bonds rating, return on equity (ROE), debt to equity ratio (DER) and macaulay duration. Multiple linear analysis method which is applicated to cross section data in this research shows that bonds rating and macaulay duration have a significant effect to yield spread on corporate bonds in financial sectors, in other words, investors consider bond rating and duration before agreeing bonds indenture. SBI rate, in the opposite, shows no significant effect on yield spread. This result may happen because of time lag in the transmission monetary policy mechanism process. Financial ratio such as return on equity and debt to equity ratio also show no significant effect on yield spread. It is possibly caused by the default risks of those financial ratio have already reflected on bonds rating, so investors do not consider ROE and DER directly.Keywords: Yield Spread, Bonds, Default, Non-Default
Co-Authors Anita Giovanni Felicia Grace Ratnasari Utomo Marsiana Luciana Sitanggang Sumani . Teresia Angelia Kusumahadi Utami, Novia