Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
研究发现公司债券回报的可预测性与有效定价一致，许多股票特征（如应计利润、意外盈余、特质波动）不影响债券回报，而盈利能力和资产增长与债券回报负相关，符合风险回报范式。
Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds. Cross-sectional bond return predictors generally do not provide materially high Sharpe ratios after accounting for trading costs.