The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis
利用高频交易数据，研究发现股票回报领先于非可转换垃圾级和BBB级债券以及所有评级类别的可转换债券，表明公司债券市场信息效率低于股票市场。
Abstract In light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We find that hourly stock returns lead bond returns for nonconvertible junk- and BBB-rated bonds, and that stock returns lead bond returns for convertible bonds in all rating classes. Most of the predictable nonconvertible bonds are issued by companies in financial distress, while the predictable convertible bonds are those with conversion options more deeply in-the-money. These results indicate that the corporate bond market is less informationally efficient than the stock market, notwithstanding the recent improvements in bond market transparency and associated reductions in corporate bond transaction costs.