The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis
利用每日和每小时的高收益债券交易价格数据，发现公司债券价格的信息效率与标的股票相似，股票并不领先债券反映公司特定信息，且信息在盈利公告后迅速融入两者价格。
Using a unique dataset based on daily and hourly high-yield bond transaction prices, we find the informational efficiency of corporate bond prices is similar to that of the underlying stocks. We find that stocks do not lead bonds in reflecting firm-specific information. We further examine price behavior around earnings news and find that information is quickly incorporated into both bond and stock prices, even at short return horizons. Finally, we find that measures of market quality are no poorer for the bonds in our sample than for the underlying stocks.