Price Discovery in the Stock and Corporate Bond Markets
作者： Yifei Mao
DOI: 10.2139/SSRN.2140186
关键词:
摘要: This paper uses intraday U.S. bond transaction and stock quote data to investigate whether corporate bonds lead stocks in price discovery of underlying rm value. I use Hasbrouck’s (1995) \information share" approach determine the relative contribution discovery. Based on a sample 214 rms, nd that markets contribute 12.6% average from 2009 2011. Corporate market increases with riskiness value, is related contemporaneous conditions. The ndings are consistent informed trading theory Merton (1973) model.
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