The Information Efficiency of the Corporate Bond Market

• Main Author: YING, Cheng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: bonds; expected returns; information asymmetry; rate of return; securities markets; transaction costs; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/45; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1044&context=etd_coll
• Institution: Singapore Management University

The link between asset prices and information fundamentals as embodied in news announcement effects is an extremely, if not the most, important area amongst current research in market microstructure. The lack of adequate transaction data posts an obstacle in this research. In this thesis, based on a...