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The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis

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Cited by:

  1. Yigit Atilgan & Aloke (Al) Ghosh & Meng Yan & Jieying Zhang, 2015. "Cross‐Listed Bonds, Information Asymmetry, and Conservatism in Credit Ratings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(5), pages 897-929, August.
  2. Oxelheim, Lars & Rafferty, Michael, 2005. "On the static efficiency of secondary bond markets," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 117-135, April.
  3. Montgomery, William & Raza, Ahmad & Ülkü, Numan, 2019. "Tests of technical trading rules and the 52-week high strategy in the corporate bond market," Global Finance Journal, Elsevier, vol. 40(C), pages 85-103.
  4. Iyer, Subramanian R. & Simkins, Betty J. & Wang, Heng, 2020. "Cyberattacks and impact on bond valuation," Finance Research Letters, Elsevier, vol. 33(C).
  5. Olaru, Ioan & Zachariadis, Konstantinos, 2011. "Trading and voting in distressed firms," LSE Research Online Documents on Economics 119076, London School of Economics and Political Science, LSE Library.
  6. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-27.
  7. Tsai, Hui-Ju & Wu, Yangru, 2015. "Bond and stock market response to unexpected dividend changes," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 1-15.
  8. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
  9. Dan Li & Norman Schürhoff, 2019. "Dealer Networks," Journal of Finance, American Finance Association, vol. 74(1), pages 91-144, February.
  10. Tsai, Hui-Ju, 2014. "The informational efficiency of bonds and stocks: The role of institutional sized bond trades," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 34-45.
  11. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012. "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, vol. 105(1), pages 18-36.
  12. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 20148, Victoria University of Wellington, School of Economics and Finance.
  13. Hilscher, Jens, 2007. "Is the corporate bond market forward looking?," Working Paper Series 800, European Central Bank.
  14. Peter D. Easton & Steven J. Monahan & Florin P. Vasvari, 2009. "Initial Evidence on the Role of Accounting Earnings in the Bond Market," Journal of Accounting Research, Wiley Blackwell, vol. 47(3), pages 721-766, June.
  15. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
  16. Berwart, Erik & Guidolin, Massimo & Milidonis, Andreas, 2019. "An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 88-118.
  17. Elie Bouri & Tsangyao Chang & Rangan Gupta, 2016. "Testing the Efficiency of the Wine Market using Unit Root Tests with Sharp and Smooth Breaks," Working Papers 201664, University of Pretoria, Department of Economics.
  18. Alex Frino & Andrew Lepone & Grace Lepone, 2019. "Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-22, September.
  19. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2014. "Fund Manager Allocation," Journal of Financial Economics, Elsevier, vol. 111(3), pages 661-674.
  20. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.
  21. Beaver, William H. & Shakespeare, Catherine & Soliman, Mark T., 2006. "Differential properties in the ratings of certified versus non-certified bond-rating agencies," Journal of Accounting and Economics, Elsevier, vol. 42(3), pages 303-334, December.
  22. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
  23. Rhodes, Meredith E. & Mason, Joseph R., 2023. "ETF ownership and firm-specific information in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 63(C).
  24. Cem Demiroglu & Julian Franks & Ryan Lewis, 2022. "Do Market Prices Improve the Accuracy of Court Valuations in Chapter 11?," Journal of Finance, American Finance Association, vol. 77(2), pages 1179-1218, April.
  25. Schaetzle, Dominik, 2011. "Ratingagenturen in der neoklassischen Finanzierungstheorie: Eine Auswertung empirischer Studien zum Informationsgehalt von Ratings," Arbeitspapiere 110, University of Münster, Institute for Cooperatives.
  26. Even-Tov, Omri, 2017. "When does the bond price reaction to earnings announcements predict future stock returns?," Journal of Accounting and Economics, Elsevier, vol. 64(1), pages 167-182.
  27. Simon Gilchrist & Jae W. Sim & Egon Zakrajsek, 2013. "Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(1), pages 159-176, January.
  28. Vo, Minh T., 2021. "Capital structure and cost of capital when prices affect real investments," Journal of Economics and Business, Elsevier, vol. 113(C).
  29. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
  30. Zhang, Tai-Wei & Wu, Wei-Hwa, 2014. "The asymmetric predictability of high-yield bonds," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 146-155.
  31. Ronen, Tavy & Zhou, Xing, 2013. "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 61-103.
  32. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
  33. Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 495-525.
  34. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
  35. 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.
  36. Vuong, Quan-Hoang, 2011. "Vietnam’s Corporate Bond Market, 1990-2010 : Some Reflections," OSF Preprints 894g5, Center for Open Science.
  37. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
  38. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
  39. Umut Akovali, 2020. "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers 2003, Koc University-TUSIAD Economic Research Forum.
  40. Weber, Martin & Norden, Lars, 2004. "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers 4674, C.E.P.R. Discussion Papers.
  41. Pereira da Silva, Paulo, 2021. "Do managers pay attention to the market? A review of the relationship between stock price informativeness and investment," Journal of Multinational Financial Management, Elsevier, vol. 59(C).
  42. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  43. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  44. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  45. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  46. Tuugi Chuluun & Andrew Prevost & John Puthenpurackal, 2014. "Board Ties and the Cost of Corporate Debt," Financial Management, Financial Management Association International, vol. 43(3), pages 533-568, September.
  47. Simon Gilchrist & Jae W. Sim & Egon Zakrajšek, 2012. "Misallocation and Financial Frictions: Some Direct Evidence From the Dispersion in Borrowing Costs," NBER Working Papers 18550, National Bureau of Economic Research, Inc.
  48. Edith Hotchkiss & Gergana Jostova, 2017. "Determinants of Corporate Bond Trading: A Comprehensive Analysis," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-30, June.
  49. Demirovic, Amer & Guermat, Cherif & Tucker, Jon, 2017. "The relationship between equity and bond returns: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 35(C), pages 47-64.
  50. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
  51. Kim Oosterlinck & Jeremy Simon, 2015. "Financial Repression and Bond Market Efficiency: the Case of Italy during World War II," Working Papers CEB 15-001, ULB -- Universite Libre de Bruxelles.
  52. Qiang Chen & Daolun Chen & YuTing Gong, 2012. "An empirical analysis of dynamic relationship between stock market and bond market based on information shocks," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 265-285, June.
  53. Quan-Hoang Vuong & Tran Tri Dung, 2010. "Corporate Bond Market in the Transition Economy of Vietnam, 1990-2010," Working Papers CEB 10-001.RS, ULB -- Universite Libre de Bruxelles.
  54. Kraft, Pepa & Xie, Yuan & Zhou, Ling, 2020. "The intraday timing of rating changes," Journal of Corporate Finance, Elsevier, vol. 60(C).
  55. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
  56. Song Han & Hao Zhou, 2016. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-49, September.
  57. Lars Norden & Martin Weber, 2009. "The Co†movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis," European Financial Management, European Financial Management Association, vol. 15(3), pages 529-562, June.
  58. Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos, 2015. "M&A operations: Further evidence of informed trading in the CDS market," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 116-130.
  59. Wei Li & Zhichao Zhang, 2012. "International capital flows, the domestic employment and wages," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 286-310, June.
  60. Paulo Pereira Da Silva, 2014. "Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?," IJFS, MDPI, vol. 2(1), pages 1-23, March.
  61. Osano, Hiroshi, 2020. "Credit default swaps and market information," Journal of Financial Markets, Elsevier, vol. 48(C).
  62. Johnston, Rick & Markov, Stanimir & Ramnath, Sundaresh, 2009. "Sell-side debt analysts," Journal of Accounting and Economics, Elsevier, vol. 47(1-2), pages 91-107, March.
  63. Ho, Hwai-Chung & Wang, Hsiao-Chuan, 2018. "Momentum lost and found in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 38(C), pages 60-82.
  64. Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang, 2016. "The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 725-761, May.
  65. Chen, Shenglan & Chou, Robin K. & Liu, Xiaoling & Wu, Yuhui, 2020. "Deregulation of short-selling constraints and cost of bank loans: Evidence from a quasi-natural experiment," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  66. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
  67. Steve Janner & Daniel Schmidt, 2015. "Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 271-298, August.
  68. Paul A. Griffin & David H. Lont & Kurt Purdon, 2021. "Stock and Bond Return Comovement as a Different Way to Assess Information Content: The Case of Debt Covenant Violation Disclosures," Abacus, Accounting Foundation, University of Sydney, vol. 57(1), pages 101-125, March.
  69. Paul Mizen & Veronica Veleanu, 2015. "On the Information Flow from Credit Derivatives to the Macroeconomy," Discussion Papers 2015/21, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  70. Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
  71. Biais, Bruno & Declerck, Fany, 2007. "Liquidity, Competition & Price Discovery in the European Corporate Bond Market," IDEI Working Papers 475, Institut d'Économie Industrielle (IDEI), Toulouse.
  72. Ivashina, Victoria & Sun, Zheng, 2011. "Institutional stock trading on loan market information," Journal of Financial Economics, Elsevier, vol. 100(2), pages 284-303, May.
  73. Trutwein, Patrick & Schiereck, Dirk, 2011. "The fast and the furious--Stock returns and CDS of financial institutions under stress," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 157-175, April.
  74. Henry, Tyler R. & Kisgen, Darren J. & Wu, Juan (Julie), 2015. "Equity short selling and bond rating downgrades," Journal of Financial Intermediation, Elsevier, vol. 24(1), pages 89-111.
  75. Chris Veld & Yulia V. Veld‐Merkoulova, 2008. "An Empirical Analysis of the Stockholder‐Bondholder Conflict in Corporate Spin‐Offs," Financial Management, Financial Management Association International, vol. 37(1), pages 103-124, March.
  76. Tolikas, Konstantinos & Topaloglou, Nikolas, 2017. "Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 39-57.
  77. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
  78. Umit G. Gurun & Rick Johnston & Stanimir Markov, 2016. "Sell-Side Debt Analysts and Debt Market Efficiency," Management Science, INFORMS, vol. 62(3), pages 682-703, March.
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