What Does the Corporate Bond Market Know?
研究发现，高收益债券的异常价格下跌预示了随后的股票价格下跌，且这种效应在股票波动大或债券票息高、期限短时更强，表明债券市场在负面消息时具有信息优势。
Abstract Do related markets reflect new information simultaneously? For high‐yield bonds, a large abnormal price decline in a corporation's most liquid bond over a month is followed by an average abnormal stock price decline of −1.42%. This effect is larger for stocks that have increased in value and for volatile stocks. It is also larger for bonds with high coupons and shorter maturities. These results support the view that high‐yield corporate bonds have an informational edge when news is negative and stock returns are noisy, and add to the growing literature on the substantial lags in price discovery between related markets.