Firm-specific information and the correlation between individual stocks and bonds

• 成果类型: Article
• 署名作者: Kwan, SH
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00836-4
• 发表日期: 1996
• 页码: 63-80
• 关键词: stock-bond relationship; lead-lag relationship; firm-specific information; market efficiency

摘要

This paper examines the correlation between the returns on individual stocks and the yield changes of individual bonds issued by the same firm, and finds that they are negatively and contemporaneously correlated. This suggests that individual stocks and bonds are driven by firm-specific information that is predominantly related to the mean, rather than the variance, of the firm's underlying assets. Furthermore, I find that lagged stock returns have explanatory power for current bond yield changes, while current stock returns are unrelated to lagged bond yield changes. This shows that stocks lead bonds in reflecting firm-specific information.