Do smaller, less liquid markets help predict prices in more liquid related markets? Using TRACE bond trade data for 1,958 bonds issued by 663 firms, we find that a decline of 10% in a firm's bonds over one month is associated with a decline of 2.1% in its stock the following month. The...

I examine the previously unexplored relation between aggregate earnings changes and corporate bond market returns. I find that aggregate earnings changes have a negative relation to investment-grade corporate bond market returns and a positive relation to high-yield corporate bond market...

Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed trading in corporate bonds and its ability to predict corporate defaults. We find that microstructure measures of information asymmetry seem to capture adverse selection in...

This paper finds significant price momentum in US corporate bonds. The analysis is based on 3.2 million monthly observations from 77,150 bonds from two transaction and three dealer-quote databases over the period from 1973 to 2008. Bond momentum profits are significant in the second half of the...

The role of credit rating agencies has been questioned in the recent years. Existing empirical studies provide mixed evidence on the informational value of bond ratings for financial investors. In this study we examine the relationship between bond ratings and credit spreads for US corporate...

This study investigates how credit spread dynamically responds to the change in aggregate Tobin's q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin's q ratio. There is...

This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather...

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds. Our analysis explores time-series and cross-sectional aspects of corporate bond yield spreads, with the main focus being on the quantification of the impact of liquidity factors,...

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds. Our analysis explores time-series and cross-sectional aspects of corporate bond yield spreads, with the main focus being on the quantification of the impact of liquidity factors,...

This paper examines the stock market impact of announcements of corporate bond rating revisions for companies in the United Kingdom (UK) and in Australia. Investigating the market reaction to bond rating changes by Moody's and Standard & Poor's, our findings reveal similar results for downgrade...