The Informational Role of Stock and Bond Volume
基于Kyle模型，研究了股票和债券交易量所传递的信息，发现订单流主要传递关于资产均值的信息，且跨市场的价格影响系数较大，导致债券和股票收益中被订单流解释的部分高度相关。
In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information conveyed by order flows is primarily about asset means. The cross-market lambdas are quite large; consequently, the portions of bond and stock returns explained by order flows are highly correlated, even though the order flows themselves are virtually uncorrelated.