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Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Citations

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Cited by:

  1. Isakin, Maksim & Pu, Xiaoling, 2023. "Dispersion in news sentiment and corporate bond returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
  2. Patrick Hable & Patrick Launhardt, 2020. "Aggregate insider trading and the prediction of corporate credit spread changes," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 1-31, March.
  3. Jun Kyung Auh & Jennie Bai, 2020. "Cross-Asset Information Synergy in Mutual Fund Families," NBER Working Papers 26626, National Bureau of Economic Research, Inc.
  4. van Zundert, Jeroen & Driessen, Joost, 2022. "Stocks versus corporate bonds: A cross-sectional puzzle," Journal of Banking & Finance, Elsevier, vol. 137(C).
  5. Lifang Li & Valentina Galvani, 2021. "Informed Trading and Momentum in the Corporate Bond Market [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 25(6), pages 1773-1816.
  6. Subrahmanyam, Avanidhar, 2018. "Equity market momentum: A synthesis of the literature and suggestions for future work," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 291-296.
  7. Redouane Elkamhi & Chanik Jo & Yoshio Nozawa, 2024. "A One-Factor Model of Corporate Bond Premia," Management Science, INFORMS, vol. 70(3), pages 1875-1900, March.
  8. Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021. "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 139(2), pages 656-677.
  9. Li, Lifang & Galvani, Valentina, 2018. "Market states, sentiment, and momentum in the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 249-265.
  10. Huang, Tao & Jiang, Liang & Li, Junye, 2023. "Downside variance premium, firm fundamentals, and expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 154(C).
  11. Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He, 2023. "Which Factors for Corporate Bond Returns?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 615-652.
  12. Qin, Yiyi & Cai, Jun & Wang, James J.D. & Webb, Robert I., 2023. "Gold-mining stocks, risk factors, and tail patterns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  13. Valentina Galvani & Lifang Li, 2018. "Asymmetric Information, Predictability and Momentum in the Corporate Bond Market," Working Papers 2018-17, University of Alberta, Department of Economics.
  14. DICKERSON, Alexander & NOZAWA, Yoshio & ROBOTTI, Cesare, 2025. "Factor Investing with Delays," Discussion Paper Series 771, Institute of Economic Research, Hitotsubashi University.
  15. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
  16. Alexander Dickerson & Christian Julliard & Philippe Mueller, 2026. "The Co-Pricing Factor Zoo," Papers 2604.04430, arXiv.org.
  17. Liu, Yukun & Wu, Xi, 2023. "How does shareholder governance affect the cost of borrowing? Evidence from the passage of anti-takeover provisions," Journal of Accounting and Economics, Elsevier, vol. 75(2).
  18. Qianwen Chen & Jaewon Choi, 2024. "Reaching for Yield and the Cross Section of Bond Returns," Management Science, INFORMS, vol. 70(8), pages 5226-5245, August.
  19. Joon Woo Bae & Zhi Da & Virgilio Zurita, 2024. "Digesting FOREXS: Information Transmission Across Asset Classes and Return Predictability," Management Science, INFORMS, vol. 70(3), pages 1943-1969, March.
  20. Zhang, Heming & Wang, Guanying, 2021. "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  21. Jiang, Yixiao, 2022. "Credit ratings, financial ratios, and equity risk: A decomposition analysis based on Moody’s, Standard & Poor’s and Fitch’s ratings," Finance Research Letters, Elsevier, vol. 46(PB).
  22. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
  23. Vladimirova, Desislava, 2025. "In the shadow of country risk: asset pricing model of emerging market corporate bonds," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 156139, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  24. Feng, Jian & Huo, Xiaolin & Liu, Xin & Mao, Yifei & Xiang, Hong, 2025. "Economic links from bonds and cross-stock return predictability," Journal of Financial Economics, Elsevier, vol. 171(C).
  25. Ceballos, Luis & Piljak, Vanja & Swinkels, Laurens, 2024. "Is firm-level political risk priced in the corporate bond market?," Journal of Empirical Finance, Elsevier, vol. 79(C).
  26. Traut, J. & Simonov, A. & Meitner, M., 2022. "Quantifying Alpha of Active Managers: A Case Study on Factor-Based Performance Attribution in Fixed-Income," Research Journal for Applied Management (RJAM), International School of Management (ISM), Dortmund, vol. 3(1), pages 85-115.
  27. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
  28. Desislava Vladimirova, 2024. "In the shadow of country risk: asset pricing model of emerging market corporate bonds," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 479-492, September.
  29. Chen, Wen, 2021. "Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses," Journal of Financial Markets, Elsevier, vol. 55(C).
  30. Mäkinen, Taneli & Sarno, Lucio & Zinna, Gabriele, 2020. "Risky bank guarantees," Journal of Financial Economics, Elsevier, vol. 136(2), pages 490-522.
  31. Söhnke M. Bartram & Mark Grinblatt & Yoshio Nozawa, 2020. "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," NBER Working Papers 27655, National Bureau of Economic Research, Inc.
  32. Alexander Dickerson & Cesare Robotti & Giulio Rossetti, 2026. "The Corporate Bond Factor Replication Crisis," Papers 2604.07880, arXiv.org.
  33. Xi (Novia) Chen & Peng‐Chia Chiu & Qin Li & Po‐Hsiang Yu, 2026. "Is Corporate Bond Market (In)attentive to Earnings News on Busy Reporting Days?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 66(1), pages 48-79, March.
  34. Fang, Yvonne & Hu, Xiaolu & Zhong, Angel & Pan, Zheyao & Cao, Youdan, 2026. "Machine learning in corporate bonds: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 184(C).
  35. Wang, Yulin & Zhang, Xueying & Walker, Thomas & Liedtke, Gerrit, 2026. "Institutional ownership and bond pricing: Evidence from China," Emerging Markets Review, Elsevier, vol. 70(C).
  36. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2019. "Common risk factors in the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 131(3), pages 619-642.
  37. Lee, Kiryoung & Jeon, Yoontae & Nam, Eun-Young, 2021. "Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1063-1077.
  38. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
  39. Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
  40. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  41. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023. "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
  42. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
  43. Demir Bektić, 2018. "The low beta anomaly: A corporate bond investor's perspective," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 300-306, October.
  44. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
  45. Abad, David & Nieto, Belén & Pascual, Roberto & Rubio, Gonzalo, 2023. "Market-wide illiquidity and the distribution of non-parametric stochastic discount factors," International Review of Financial Analysis, Elsevier, vol. 87(C).
  46. Dickerson, Alexander & Julliard, Christian & Mueller, Philippe, 2026. "The co-pricing factor zoo," LSE Research Online Documents on Economics 138476, London School of Economics and Political Science, LSE Library.
  47. Wang, Yiying & Cui, Dangdang, 2025. "Tax credit rating changes and the cost of debt financing: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  48. Samuel Manser, 2023. "Factors in Swiss franc corporate bond returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 277-296, September.
  49. Li, Jiacui, 2022. "Endogenous inattention and risk-specific price underreaction in corporate bonds," Journal of Financial Economics, Elsevier, vol. 145(2), pages 595-615.
  50. Beatrice Bertelli & Gianna Boero & Costanza Torricelli, 2025. "The market price of greenness: a factor pricing approach for green and conventional bonds," Annals of Finance, Springer, vol. 21(3), pages 317-350, September.
  51. Jing-Zhi Huang & Nan Qin & Ying Wang, 2024. "Breadth of Ownership and the Cross-Section of Corporate Bond Returns," Management Science, INFORMS, vol. 70(9), pages 5709-5730, September.
  52. Ping Li & Jiahong Li & Dong Wang, 2024. "Anomaly Identification and Premium Mining: Evidence from Chinese Urban Construction Investment Bonds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 945-974, December.
  53. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
  54. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
  55. Jin, Xuejun & Chen, Yifan & Liu, Xiaobin & Zeng, Tao, 2026. "Factors in the cross-section of Chinese corporate bonds: Evidence from reduced-rank analysis," Journal of Empirical Finance, Elsevier, vol. 85(C).
  56. Choi, Jaewon & Kim, Yongjun, 2018. "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 16-34.
  57. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2024. "How Integrated are Credit and Equity Markets? Evidence from Index Options," Journal of Finance, American Finance Association, vol. 79(2), pages 949-992, April.
  58. Feng, Guanhao & He, Xin & Wang, Yanchu & Wu, Chunchi, 2025. "Predicting individual corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 171(C).
  59. Ivashchenko, Alexey, 2024. "Corporate bond price reversals," Journal of Financial Markets, Elsevier, vol. 68(C).
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