Price Discovery in the Stock and Corporate Bond Markets
| dc.contributor.author | Mao, Yifei | |
| dc.date.accessioned | 2020-09-11T13:49:18Z | |
| dc.date.available | 2020-09-11T13:49:18Z | |
| dc.date.issued | 2012-10-31 | |
| dc.description.abstract | This paper uses intraday U.S. bond transaction and stock quote data to investigate whether corporate bonds lead stocks in price discovery of underlying firm value. I use Hasbrouck's (1995) “information share" approach to determine the relative contribution of corporate bond to price discovery. Based on a sample of 214 firms, I find that corporate bond markets contribute 12.6% on average to price discovery from 2009 to 2011. Corporate bond market price discovery increases with the riskiness of the under-lying firm value, and is related to contemporaneous market conditions. The findings are consistent with the informed trading theory and Merton (1973) model. | |
| dc.description.legacydownloads | Mao4_Price_discovery.pdf: 883 downloads, before Aug. 1, 2020. | |
| dc.identifier.other | 7520118 | |
| dc.identifier.uri | https://hdl.handle.net/1813/71336 | |
| dc.language.iso | en_US | |
| dc.rights | Required Publisher Statement: Copyright held by the author. | |
| dc.subject | price discovery | |
| dc.subject | information share | |
| dc.subject | corporate bond | |
| dc.title | Price Discovery in the Stock and Corporate Bond Markets | |
| dc.type | preprint | |
| local.authorAffiliation | Mao, Yifei: ym355@cornell.edu Cornell University School of Hotel Administration |
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