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...
Saved in:
Main Authors: | Chordia, Tarun, Goyal, Amit, Nozowa, Yoshio, Subrahmanyam, Avanidhar, Tong, Qing |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2014
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4521 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5520/viewcontent/goyal.pdf |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
Similar Items
-
Are capital market anomalies common to equity and corporate bond markets?
by: CHORDIA, Tarun, et al.
Published: (2017) -
Sell-order liquidity and the cross-section of expected stock returns
by: Brennan, Michael, et al.
Published: (2012) -
Order flow volatility and equity costs of capital
by: CHORDIA, Tarun, et al.
Published: (2019) -
Expected Equity Option Returns
by: ZHANG, Xue
Published: (2009) -
Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?
by: CHORDIA, Tarun, et al.
Published: (2014)