Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors?

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:

書目詳細資料
Main Authors:	Chordia, Tarun, Goyal, Amit, Nozowa, Yoshio, Subrahmanyam, Avanidhar, Tong, Qing
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Business
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

相似書籍

Sell-order liquidity and the cross-section of expected stock returns
由: Brennan, Michael, et al.
出版: (2012)

Are capital market anomalies common to equity and corporate bond markets?
由: CHORDIA, Tarun, et al.
出版: (2017)

Order flow volatility and equity costs of capital
由: CHORDIA, Tarun, et al.
出版: (2019)

Expected Equity Option Returns
由: ZHANG, Xue
出版: (2009)

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
由: FU, Fangjian
出版: (2006)

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
由: FU, Fangjian
出版: (2006)

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
由: FU, Fangjian
出版: (2009)

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
由: FU, Fangjian
出版: (2005)

Dispersion of analysts' expectations and the cross-section of stock returns
由: Baik, B., et al.
出版: (2011)

Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?
由: CHORDIA, Tarun, et al.
出版: (2014)

Expected Volatility, Unexpected Volatility, and the Cross-section of Stock Returns
由: CHUA, Choong Tze, et al.
出版: (2010)

Do errors in expectations explain the cross-section of stock returns?
由: Mian, G.M., et al.
出版: (2013)

A CROSS-SECTIONAL ANALYSIS OF EXPECTED STOCK RETURNS : THE CASE OF SINGAPORE
由: LEE KOK SUN
出版: (2020)

Is carbon risk priced in the cross-section of corporate bond returns?
由: DUAN, Tinghua, et al.
出版: (2023)

Is carbon risk priced in the cross section of corporate bond returns?
由: DUAN, Tinghua, et al.
出版: (2025)

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns
由: BALI, Turan, et al.
出版: (2019)

Pairwise correlations
由: CHORDIA, Tarun, et al.
出版: (2011)

The Cross-Section of Stock Return and Volatility
由: HAN, Hongchao
出版: (2008)

Can liquidity shifts explain the lockup expiration effect in stock returns?
由: KRISHNAMURTI, Chandrasekhar, et al.
出版: (2009)

Liquidity Variation and the Cross-Section of Stock Returns
由: FU, Fangjian
出版: (2012)

Liquidity Variation and the Cross-Section of Stock Returns
由: FU, Fangjian
出版: (2013)

Macro disagreement and the cross-section of stock returns
由: LI, Frank Weikai
出版: (2016)

Style Effects in the Cross-Section of Stock Returns
由: TEO, Melvyn, et al.
出版: (2004)

Idiosyncratic risk and the cross-section of REIT returns
由: WANG JINGLIANG
出版: (2010)

Prediction of returns on equity
由: Lim, Hwee Sin, et al.
出版: (2009)

The cross-sectional return dispersion with momentum strategyand the spill over across FX and Equity markets, during COVID-19
由: Pisit Grittiyarangsan
出版: (2021)

Expected return, volume, and mispricing
由: HAN, Yufeng, et al.
出版: (2022)

Cross Section Return Saham dan Kebijakan Moneter
由: , ASMA, Rusdayanti, et al.
出版: (2005)

The trend in short selling and the cross section of stock returns
由: ZHU, Zhaobo, et al.
出版: (2019)

Uncertainty Risk and Cross-Sectional Returns: Theory and Evidence
由: ZHANG, Zhe (Joe)
出版: (2003)

Uncertainty Risk and Cross-Sectional Returns: Theory and Evidence
由: ZHANG, Zhe (Joe)
出版: (2003)

Asset growth and the cross-section of stock returns in China.
由: Chuh, Chee Ming., et al.
出版: (2010)

Streaks in Earnings Surprises and the Cross-Section of Stock Returns
由: LOH, Roger, et al.
出版: (2012)

Streaks in earnings surprises and the cross-section of stock returns
由: LOH, Roger, et al.
出版: (2011)

The trend in short selling and the cross section of stock returns
由: ZHU, Zhaobo, et al.
出版: (2019)

STATISTICAL ANALYSIS OF SEASONALITY IN CROSS-SECTIONAL STOCK RETURNS
由: LIU YANAN
出版: (2018)

The cross-section of stock returns on the Shanghai stock exchange
由: Wong, K.A., et al.
出版: (2013)

BETAS AS A PREDICTOR OF RETURNS
由: NG MAY YIN
出版: (2019)

Appropriate Expected Return and the Relationship with Risk
由: Panutat Maneemaroj, et al.
出版: (2019)

Presidential economic approval rating and the cross-section of stock returns
由: CHEN, Zilin, et al.
出版: (2023)