The lead-lag relation between the stock and the bond markets
研究了股票与债券日收益的领先滞后关系，发现股票收益领先高收益债券但非投资级债券，表明股票市场信息效率更高，且股票能更早发现违约信号。
I examine the relative informational efficiency of bonds and the underlying stocks through the lead-lag relation between their daily returns. I find that stock returns lead the returns of high yield bonds but not those of investment grade bonds, which indicates that the stock market is relatively more informational efficient than the bond market. The findings imply trading opportunities for the bonds that are highly sensitive to the release of new information. I also find that stocks detect impending defaults earlier than bonds, which implies that bond holders may have enough time to protect their capital.