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The price and volume response to earnings announcements in the corporate bond market

Author

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  • Melissa Woodley
  • Peter DaDalt
  • John R. Wingender

Abstract

We examine abnormal returns and trading activity in bond markets around earnings announcements. Previous work provides mixed evidence on the relative impact of positive and negative surprises and the degree of response in investment‐grade and speculative‐grade bonds. We find that these announcements convey value‐relevant information for both positive and negative earnings surprises in both investment and speculative‐grade bonds. We also document significant heterogeneity in the response across industries, with muted responses in both abnormal returns and trading activity for bonds of firms in the financial and utilities industries.

Suggested Citation

  • Melissa Woodley & Peter DaDalt & John R. Wingender, 2020. "The price and volume response to earnings announcements in the corporate bond market," The Financial Review, Eastern Finance Association, vol. 55(4), pages 669-696, November.
    • Handle: RePEc:bla:finrev:v:55:y:2020:i:4:p:669-696
    DOI: 10.1111/fire.12242
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    References listed on IDEAS

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    1. Yanxi Li & Siu Kai Choy & Mingzhu Wang, 2022. "The potential built‐in supply effect from margin trading in the Chinese stock market," The Financial Review, Eastern Finance Association, vol. 57(4), pages 835-861, November.

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