Are Fundamentals Priced in the Bond Market?*
首次研究Lev和Thiagarajan（1993）提出的基本面因素对债券违约风险的价值相关性，发现这些因素在新债券发行市场中被定价，能帮助市场识别债券信用质量差异。
Abstract To date, the discussion of the Lev and Thiagarajan 1993 fundamentals in the prior literature has been exclusively in the context of the stock market. Our study is the first to examine the value‐relevance of these fundamentals for default risk. By focusing on the market for new bond issues, we examine the value‐relevance of the fundamental score using expected rather than realized returns. Also, by focusing on the bond market we provide a different perspective than that brought by prior studies relying solely on stock prices. We find the fundamentals to be priced in the market for new bond issues as indicators of expected future earnings and to be value‐relevant in enabling the market to discern differences in bond credit quality over and above the published bond ratings.