. Short sellers also facilitate price discovery by reducing abnormal stock returns following downgrades and by leading bond …

overpricing leads to a range of anomalous cross-sectional patterns in stock and bond returns. Including bonds as additional test …

We reinvestigate the CDS-bond basis negativity puzzle after the financial crisis. This puzzle is defined as the … unexpected persistence of the dislocation between bond and derivative credit markets. We show that the first two moments of the … cross-sectional variation of the CDS-bond basis in each regime. Using a model with several limit-to-arbitrage factors, we …

We study the bond price reaction of a merged firms peers, in order to better understand how the market responds to a … equity holders expect a direct benefit from a potential acquisition - in the form of a price premium-peer firm bond holders … reduction in risk as the explicit return driver, we show that abnormal bond returns within firm (between different bond issues …

This paper provides the first evidence of the debt and stock market reaction to corporate green bond issuance in the … of the Chinese green bond pricing premium is greatly larger than that of an international green bond documented in prior … by long-term institutional investors. Further analysis reveals positive announcement stock returns for green bond new …

Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment … such alphas is bond price reversals post news events. Our findings highlight that bond mutual funds represent a significant … liquidity provider in the corporate bond market and play a complementary role to dealers in corporate news events. …

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …