Stocks versus corporate bonds: A cross-sectional puzzle
研究了股票与公司债券市场的横截面关系，通过修正信用利差和利用股债弹性，发现预期债券隐含股票收益与实际股票收益之间存在强烈的负相关关系，且在高风险公司和流动性强的股票中更为显著。
We study the cross-sectional relation between stock and corporate bond markets. By correcting credit spreads of corporate bonds for expected default losses and by using equity-bond elasticities, we obtain a firm’s expected bond-implied stock return, which we then compare to its realized stock return. We find, surprisingly, a strong negative cross-sectional relation between these expected and realized stock returns. We show that this effect is not simply a restatement of the distress risk puzzle or other well-known anomalies in stock and corporate bond markets. This negative cross-sectional relation is strongest for high-risk firms and for liquid stocks.