Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors?
This paper studies whether the commonly analyzed equity return predictors also predict corporate bond returns. Bond markets do price risk, but are also susceptible to delayed information transmission relative to equities. Firm size and profitability are negatively priced while idiosyncratic volatili...
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| Main Authors: | , , , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2014
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/4521 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5520/viewcontent/goyal.pdf |
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