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

Edith Hotchkiss · Tavy Ronen

293 citations0/0 files storedReview of Financial Studies

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Corporate Finance and Governance Credit Risk and Financial Regulations

Abstract

Using a unique dataset based on daily and hourly high-yield bond transaction prices, we find the informational efficiency of corporate bond prices is similar to that of the underlying stocks. We find that stocks do not lead bonds in reflecting firm-specific information. We further examine price behavior around earnings news and find that information is quickly incorporated into both bond and stock prices, even at short return horizons. Finally, we find that measures of market quality are no poorer for the bonds in our sample than for the underlying stocks.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 293 citations exist upstream.

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1977Estimating betas from nonsynchronous data 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2001Explaining the Rate Spread on Corporate Bonds 1989On the Usefulness of Earnings and Earnings Research: Lessons and Directions from Two Decades of Empirical Research

Cited by

2009Initial Evidence on the Role of Accounting Earnings in the Bond Market 2008Latent liquidity: A new measure of liquidity, with an application to corporate bonds 2010Do hedge funds trade on private information? Evidence from syndicated lending and short-selling☆2014Click or Call? Auction versus Search in the Over‐the‐Counter Market 2010

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.