Anomalies and market (dis)integration

• 成果类型: Article
• 署名作者: Choi, Jaewon; Kim, Yongjun
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; University of Seoul
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.06.003
• 发表日期: 2018
• 页码: 16-34
• 关键词: market integration; Credit risk; Hedge ratio; Cross-sectional corporate bond returns

摘要

If equity and corporate bond markets are integrated, risk premia in one market should appear in the other, and their magnitudes should be consistent with each other. We use this powerful insight to test market integration. Some variables (e.g., profitability and net issuance) fail to explain bond returns, and for others (e.g., investment and momentum) bond return premia are too large compared with their loadings, or hedge ratios, on equity returns of the same firms. The risk premia of standard factors tend to differ between the two markets. Market integration weakens when noisy investor demand and short-sale impediments are stronger. (C) 2018 Elsevier B.V. All rights reserved.