Issues in the construction of corporate bond event studies using bond transaction data are explored. We show that the procedures used in studies to date have relatively low power because they fail to control for the substantial heteroskedasticity in bond returns due to differences in...

The procedures used in corporate bond event studies to date fail to control for heteroskedasticity due to differences in return volatility by term-to-maturity, rating, and other factors resulting in low test power. Bond return standardization yields considerably more powerful tests. Also, due to...

Exploring properties both of the EIA's natural gas and crude oil storage announcements and of analyst forecasts of the EIA storage figures, we find that analyst storage forecasts bring additional information to the market beyond seasonal patterns and past storage flows and that the market...

The Dodd-Frank Act (Section 939B) enacted in 2010 repealed credit rating agencies' (CRAs) exemption from Regulation Fair Disclosure. Testing whether CRAs continue to provide new information to the market after the repeal, we find that the significant pre-repeal stock price responses to rating...