Initial Evidence on the Role of Accounting Earnings in the Bond Market
发现债券交易在盈余公告期间增加，债券价格对盈余公告有反应，且年度债券收益与盈余变化和分析师预测误差正相关，这些效应在坏消息或高风险债券中更强。
ABSTRACT We document that: (1) the incidence of bond trade increases during the days surrounding earnings announcements, (2) there is a bond‐price reaction to the announcement of earnings, and (3) there is a positive association between annual bond returns and both annual changes in earnings and annual analysts' forecast errors. All of these effects are larger when earnings convey bad news or when the underlying bond is more risky. Taken together, our results suggest that the nonlinear payoff structure of bond securities affects the role of accounting earnings in the bond market.