| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27655 |
| 来源ID | Working Paper 27655 |
| Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns | |
| Söhnke M. Bartram; Mark Grinblatt; Yoshio Nozawa | |
| 发表日期 | 2020-08-10 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | A corporate bond’s book value divided by its market price strongly predicts its return from actual transactions occurring at least eight days after observing the signal. Bonds with the 20% highest “bond book-to-market ratios” outperform their lowest quintile counterparts by 3%-4% per year, other things equal. The finding controls for numerous attributes tied to liquidity, default, microstructure, and priced asset risk, including yield, credit spread, structural model equity hedges, bond rating, and maturity. If an efficient markets story explained the 3%-4% spread, we would not observe (as we do) rapid decay in the ratio’s predictive efficacy with implementation delays beyond one month, efficacy across the bond-type spectrum, and an inability of microstructure, factor risk, and bond attributes to account for the anomaly. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w27655 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585327 |
| 推荐引用方式 GB/T 7714 | Söhnke M. Bartram,Mark Grinblatt,Yoshio Nozawa. Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27655.pdf（1357KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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