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

2000 ◽  
Author(s):  
Edith S. Hotchkiss ◽  
Tavy Ronen
Keyword(s):  
Bond Market ◽  
Corporate Bond ◽  
Informational Efficiency ◽  
Corporate Bond Market ◽  
Intraday Analysis

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

2009 ◽  
Vol 44 (5) ◽  
pp. 1081-1102 ◽  
Author(s):  
Chris Downing ◽  
Shane Underwood ◽  
Yuhang Xing
Keyword(s):  
Stock Returns ◽  
Financial Distress ◽  
High Frequency ◽  
Convertible Bonds ◽  
Bond Market ◽  
Corporate Bond ◽  
Informational Efficiency ◽  
Corporate Bond Market ◽  
Market Transparency ◽  
Bond Returns

AbstractIn light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We find that hourly stock returns lead bond returns for nonconvertible junk- and BBB-rated bonds, and that stock returns lead bond returns for convertible bonds in all rating classes. Most of the predictable nonconvertible bonds are issued by companies in financial distress, while the predictable convertible bonds are those with conversion options more deeply in-the-money. These results indicate that the corporate bond market is less informationally efficient than the stock market, notwithstanding the recent improvements in bond market transparency and associated reductions in corporate bond transaction costs.

Momentum in Korean Corporate Bond Market

2020 ◽  
Vol 33 (3) ◽  
pp. 301-338
Author(s):  
Minyeon Han ◽  
◽  
Jemoon Woo ◽  
Hyounggoo Kang
Keyword(s):  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market
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