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 …

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split …

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 …

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 …

Institute for Monetary and Financial Research).We study the relationship between international bond flows and exchange rate … returns for a panel of emerging market economies (EMEs). Specifically, we investigate whether international net bond flows are … evidence of a positive relationship between bond flows and future exchange rate returns of EMEs, which is not present for …