Disagreement, Liquidity, and Price Drifts in the Corporate Bond Market
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Series
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SpeakerYoshio Nozawa (University of Toronto)
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FieldFinance
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LocationOnline
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Date and time
November 03, 2021
14:00 - 15:00
Abstract: We document empirical evidence
for post-earnings announcement drift in corporate bond prices using transaction
data. The drift exists regardless of credit rating, maturity, and
importantly, illiquidity. The drift is not subsumed by equity-bond momentum spillover,
and more pronounced for bonds where analysts and bond investors disagree on
bonds' values than those with little disagreement. Since disagreement
generates transactions, bonds that trade more frequently exhibit greater
drifts. We explain these facts with a stylized model where investors
agree to disagree.
Join Zoom Meeting at November 3, 14.00
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