The Informational Role of Stock and Bond Volume

• 成果类型: Article
• 署名作者: Back, Kerry; Crotty, Kevin
• 署名单位: Rice University; Rice University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu094
• 发表日期: 2015
• 页码: 1381
• 关键词: the-counter markets; CORPORATE-BONDS; trading costs; INTRADAY ANALYSIS; security design; liquidity; equity; TRANSPARENCY; EFFICIENCY; price

摘要

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.