Publication Type
Journal Article
Version
acceptedVersion
Publication Date
8-2017
Abstract
This paper studies whether the commonly analyzed equity return predictors also predict corporate bond returns. Bond markets do price risk, but are also susceptible to delayed information transmission relative to equities. Firm size and profitability are negatively priced while idiosyncratic volatility is positively priced, suggesting that large firms, more profitable firms and relatively less volatile firms are more attractive to bond investors, thus requiring lower returns. Consistent with a relatively sophisticated institutional clientele, bonds are efficiently priced in that none of the behaviorally-motivated variables provide profitable trading strategies after accounting for transactions costs, though some risk-based variables continue to do so.
Discipline
Business | Corporate Finance | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Financial and Quantitative Analysis
Volume
52
Issue
4
First Page
1301
Last Page
1342
ISSN
0022-1090
Identifier
10.1017/S0022109017000515
Publisher
Cambridge University Press (CUP): HSS Journals
Citation
CHORDIA, Tarun; GOYAL, Amit; NOZOWA, Yoshio; SUBRAHMANYAM, Avanidhar; and TONG, Qing.
Are capital market anomalies common to equity and corporate bond markets?. (2017). Journal of Financial and Quantitative Analysis. 52, (4), 1301-1342.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5303
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1017/S0022109017000515