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

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References

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1997High frequency data in financial markets: Issues and applications

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411 cited

1996Firm-specific information and the correlation between individual stocks and bonds411 cited

1999Market Transparency: Who Wins and Who Loses?390 cited

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2009Initial Evidence on the Role of Accounting Earnings in the Bond Market232 cited
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2010Do hedge funds trade on private information? Evidence from syndicated lending and short-selling☆216 cited
2014Click or Call? Auction versus Search in the Over‐the‐Counter Market195 cited
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2004Corporate Yield Spreads and Bond Liquidity192 cited
2019A Survey of the Microstructure of Fixed-Income Markets148 cited
2013Did CDS trading improve the market for corporate bonds?143 cited
2009The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis143 cited
2016Information asymmetry, the cost of debt, and credit events: Evidence from quasi-random analyst disappearances142 cited
2003Trading Costs in Three U.S. Bond Markets134 cited
2011Liquidity and Arbitrage in the Market for Credit Risk129 cited
2010Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises121 cited
2017Determinants of Corporate Bond Trading: A Comprehensive Analysis116 cited
2014Board Ties and the Cost of Corporate Debt115 cited
2013The Timeliness of the Bond Market Reaction to Bad Earnings News115 cited