Bond and Stock Market Response to Unexpected Earnings Announcements
研究盈利变化是否向债券市场传递信息，发现债券价格对意外盈利增长有正向反应、对下降有负向反应，且结果在盈利公告前后一致，表明盈利意外将公司价值变化在债券持有人和股东之间分配。
This study examines whether earnings changes convey information in bond markets and finds a significant positive (negative) reaction to unexpected earnings increases (decreases). The results are consistent whether earnings announcements precede or follow dividend announcements. Thus, earnings surprises convey information to bond markets and changes in firm value are split among bondholders and stockholders. This is in contrast to evidence from studies examining unexpected dividend announcements where bond price reaction is asymmetric. Cross-sectional analysis reveals that bond excess returns are positively related to earnings surprises.