Financial Statement Anomalies in the Bond Market
研究了32个财务报表变量与债券回报的关系，发现其中17个能显著预测未来回报，且市场无效性在机构投资者不活跃或发行人信用不确定时更明显，为债券交易策略提供了实用指导。
We investigate the association between bond returns and 32 financial statement variables. Our findings show that 17 of the 32 financial statement measures we examined are significantly related to future bond returns. Evidence of inefficiency is more pronounced when institutional investors are less active and when there is more uncertainty about the creditworthiness of the issuer. We contribute to the literature by significantly expanding the number of anomalies analyzed and by providing practitioners with actionable guidance on which trading strategies may be profitable in the bond market.