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Tekijä: | Kwan, S. |
Otsikko: | Firm-specific information and the correlation between individual stocks and bonds |
Lehti: | Journal of Financial Economics
1996 : JAN, VOL. 40:1, p. 63-80 |
Asiasana: | BONDS STOCK OWNERSHIP FINANCE |
Kieli: | eng |
Tiivistelmä: | This paper examines the correlation between the returns on individual stocks and the yield changes of individual bonds issued by the same firm, and finds that they are negatively and contemporaneously correlated. This suggests that individual stocks and bonds are driven by firm-specific information that is predominantly related to the mean, rather than the variance, of the firm's underlying assets. Furthermore, the lagged stock returns have explanatory power for current bond yield changes. |
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