search query: @author Hotchkiss, E. S. / total: 4
reference: 2 / 4
| Author: | Hotchkiss, E. S. Ronen, T. |
| Title: | The informational efficiency of the corporate bond market: an intraday analysis |
| Journal: | Review of Financial Studies
2002 : WINTER, VOL. 15:5, p. 1325-1354 |
| Index terms: | Bond markets Share prices Corporate finance |
| Language: | eng |
| Abstract: | Using a unique dataset based on daily and hourly high-yild bond transaction prices, the authors find the information efficiency of corporate bond prices is similar to that of the underlying stocks. They find that stocks do not lead bonds in reflecting firm-specific information. They further examine price behaviour around earnings news and find that inform,ation is quickly incorporated into both bond and stock prices, even at short return horizons. |
SCIMA