This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread volatilities, higher transaction costs, higher...

We examine the extent to which institutional investors herd in the U.S. corporate bond market and the price impact of their herding behavior. We find that the level of institutional herding in corporate bonds is substantially higher than what is documented for equities, and that sell herding is...

This study explores the cross-sectional integration of stock and corporate bond markets by comparing a firm's expected stock return, as implied by corporate bond spreads, to its realized stock return. We compute expected corporate bond returns by correcting credit spreads for expected losses due...

We find that four well-known characteristics (carry, defensive, momentum and value) explain a significant portion of the cross-sectional variation in corporate bond excess returns. These characteristics have positive risk-adjusted expected returns and are not subsumed by traditional market...

We offer empirical evidence that size, low-risk, value, and momentum factor portfolios generate economically meaningful and statistically significant alphas in the corporate bond market. Because the correlations between the single-factor portfolios are low, a combined multi-factor portfolio...

We explore how efficiently new information transmits along the supply chain in corporate bond market. We find a strong predictability of the lagged bond returns of customers for related firm- and industry-level future bond returns. This is likely due to investors' inattention to cash-flow...

We investigate and improve momentum spillover from stocks to corporate bonds, i.e. the phenomenon that past winners in the equity market are future winners in the corporate bond market. We find that a momentum spillover strategy exhibits strong structural and time-varying default risk exposures...

Using distinct features of corporate bond ETFs, financial innovation is found to have a significant and long‐term positive valuation impact on the systemically important underlying. A one standard deviation increase in ETF ownership reduces high yield and investment grade bond spreads by 20.3...

Using a comprehensive data set and an array of 27 macroeconomic, stock and bond predictors, we find that corporate bond returns are highly predictable based on an iterated combination model. The large set of predictors outperforms traditional predictors substantially, and predictability...

We examine the economic consequences associated with the inclusion of covenants with similar levels of restrictiveness in bond contracts. Using a unique Moody's dataset on the quality of bond covenants, we develop measures that capture similarity in bond covenant terms by comparing the...