Informed Trading in Corporate Bonds Prior to Earnings Announcements
利用NAIC和TRACE数据，发现盈余公告前公司债券交易方向与盈余意外紧密相关，尤其在负面消息和高收益债券中更明显；异常交易能预测盈余意外和公告后债券回报，且机构大额交易和活跃债券的预测能力更强，扣除成本后仍可获利。
This paper examines the information content of corporate bond trading prior to earnings announcements using data from both NAIC and TRACE. We find that the direction of pre‐announcement bond trading is closely related to earnings surprises. This link is most evident prior to negative news and in high‐yield bonds. Further, abnormal bond trading during the pre‐announcement period can help predict both earnings surprises and post‐announcement bond returns. Such predictive ability of bond trading largely originates from institutional‐sized trades and is concentrated in the issuer's most actively traded bond. Finally, even after accounting for transactions costs, informed bond trading can generate significant net profits, especially prior to the release of bad news.