کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961403 | 929848 | 2013 | 43 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trade and information in the corporate bond market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper examines the impact of shifting liquidity and institutional trading in the corporate bond market on inferences regarding informational efficiency. We find that when institutional trade dominance and other bond trading features are accounted for, stock leads evidenced in earlier studies surprisingly disappear. Short windows after firm-specific news releases are examined, and bond trading advantages are shown to be pronounced particularly when equity market liquidity is low (during after-market hours). Cross-sectionally, the effect of credit risk and other firm/bond level characteristics are determined. Finally, 'top bonds' are identified, and their common ex ante identifiable characteristics are determined.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 61-103
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 61-103
نویسندگان
Tavy Ronen, Xing Zhou,