Downing, Chris; Underwood, Shane; Xing, Yuhang - In: Journal of Financial and Quantitative Analysis 44 (2009) 05, pp. 1081-1102
In light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We...