Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Détails

ID Serval
serval:BIB_B1A2448B5111
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
Périodique
Journal of Financial and Quantitative Analysis
Auteur(s)
Chordia T., Goyal A., Nozawa Y., Subrahmanyam A., Tong Q.
ISSN
0022-1090
1756-6916
Statut éditorial
Publié
Date de publication
08/2017
Peer-reviewed
Oui
Volume
52
Numéro
04
Pages
1301-1342
Langue
anglais
Résumé
A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization negatively predict corporate bond returns, but other predictors, like accruals and earnings surprises, do not. Since smaller, unprofitable firms should be more risky, and firms with high asset growth (or high real investment) should have lower required returns, the evidence indicates that corporate bond returns accord with the risk-reward paradigm. Stock markets lead bond markets, consistent with equities aggregating diverse information and transmitting it to bonds. Overall, we find that accounting for transaction costs, bonds are efficiently priced.
Mots-clé
Economics and Econometrics, Accounting, Finance
Web of science
Création de la notice
19/09/2017 10:57
Dernière modification de la notice
20/08/2019 16:20
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