Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961403 | Journal of Financial Markets | 2013 | 43 Pages |
Abstract
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.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tavy Ronen, Xing Zhou,