Stock‐bond return co‐movement and accounting information
研究了会计稳健性如何影响公司债券收益对股权价值变化的敏感度，发现稳健的会计报告和债券契约中的限制条款能增强股票与债券收益的正向联动，有助于投资者评估债券在投资组合中的分散化效果。
Abstract I examine how an important attribute of financial reporting quality, i.e., accounting conservatism, affects the sensitivity of corporate bond returns to changes in the value of equity (i.e., the hedge ratio). The correlation between stock and bond returns (co‐movement) is a fundamental input for asset allocation decisions as it determines the diversification benefits of bonds relative to equities within an investment portfolio. According to structural models of credit risk, co‐movement should be generally positive, but lower when the risk of wealth transfers from bondholders to shareholders is severe. I find that firms that report conservative earnings and use covenants in their bond contracts exhibit on average stronger co‐movement. This result is consistent with conservatism providing bondholders with a credible and contractible signal that improves monitoring, thus preventing wealth transfers.