Are capital market anomalies common to equity and corporate bond markets?

• Main Authors: CHORDIA, Tarun, GOYAL, Amit, NOZOWA, Yoshio, SUBRAHMANYAM, Avanidhar, TONG, Qing
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Business; Corporate Finance; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5303; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6302/viewcontent/Bonds_JFQA__1_.pdf
• Institution: Singapore Management University

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...