Return Synchronicity in Bond Market
认领作者 认领管理权限
发布日期:2022年06月23日 上次修订日期:2022年06月23日


This paper studies the information interpretation of return synchronicity in the context of corporate bond market and examines the specific event intensity rationale that underlie the relationship between bond synchronicity and bond level information environment. We find that investment-grade bonds, bonds without rating splits, and bonds issued by public firms present higher levels of bond return synchronicity. These results hold after we control for bond level characteristics, industry and year fixed effects. By using credit rating change announcements as a unique measure of bond specific event intensity, we corroborate that security under better information environment has lower likelihood of specific event surprise occurrence, and thus is more synchronous with the market. We also verify that once rating change announcements did take place, the corresponding return synchronicity would be lower. Such impact would be more pronounced when the rating is downgraded compared with upgrade rating changes.

Haoyu Gao ; Junbo Wang ; Junchao Xiao ; Return Synchronicity in Bond Market (2022年06月23日)

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