Implied Volatility Changes and Corporate Bond Returns

• 成果类型: Article
• 署名作者: Cao, Jie; Goyal, Amit; Xiao, Xiao; Zhand, Xintong
• 署名单位: Hong Kong Polytechnic University; Swiss Finance Institute (SFI); City St Georges, University of London; Fudan University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4379
• 发表日期: 2023
• 页码: 1375-1397
• 关键词: Corporate bonds; implied volatility changes; default risk; Information diffusion

摘要

Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases in implied volatility by 0.6% per month. In contrast to existing studies that show implied volatility changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information about uncertainty shocks to the firm. Our results are consistent with the notion that informed traders with new information about firm risk prefer to trade in the option market and the corporate bondmarket underreacts to this information.