Initial Evidence on the Role of Accounting Earnings in the Bond Market

• 成果类型: Article
• 署名作者: Easton, Peter D.; Monahan, Steven J.; Vasvari, Florin P.
• 署名单位: University of Notre Dame; University of London; London Business School
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2009.00333.x
• 发表日期: 2009
• 页码: 721-766
• 关键词: information-content; corporate; COSTS

摘要

We document that: (1) the incidence of bond trade increases during the days surrounding earnings announcements, (2) there is a bond-price reaction to the announcement of earnings, and (3) there is a positive association between annual bond returns and both annual changes in earnings and annual analysts' forecast errors. All of these effects are larger when earnings convey bad news or when the underlying bond is more risky. Taken together, our results suggest that the nonlinear payoff structure of bond securities affects the role of accounting earnings in the bond market.