corporate bond yield changes and stock returns should be informative about firm level default risk of this corporate debt. In … estimate the contemporaneous correlation between firm level corporate bond yield changes and stock returns using daily data … evidence that as the stock-bond correlations increase in absolute value, the default risks of bonds increase, as expected. In …

A bond's expected return (EBR) is the ex-ante internal rate of return of the bond's expected future cash flows, whereas … a bond's yield to maturity (YTM) is the internal rate of return of its promised future cash flows. In this paper we … the model to U.S. corporate bond data, using rating transition matrices and industry-specific recovery rates. We show that …

, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between … bond illiquidity and synchronicity, and this empirical relation remains after applying robustness checks and endogeneity … controls. Consistent with theoretical model implications, the effect of bond illiquidity as information friction is more …

analyst coverage links documented in the literature. The cross-return predictability is not significant in the bond market … response to news regarding bond-linked peer firms. Overall, our results are consistent with limited investor attention due to … market segmentation between the equity and bond markets …

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market … prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its … implement the model using corporate bond transaction data from the United States and a rating agency transition matrix to …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …