원문정보
초록
영어
If equity and corporate bond markets are integrated, risk premia in one market should appear in the other, and their magnitudes should be consistent with each other. We use this insight to examine market integration between equity and corporate bonds in the cross section. Some variables (e.g., pro tability and net issuance) that explain equity returns do not explain bond returns, and for others (e.g., investment and momentum) cross-sectional bond returns are too large to be explained by their loadings, or hedge ratios, on equity returns of the same rms. The risk premia of the standard factors estimated using bond returns tend to di er from those estimated using equity returns. We also nd that discrepancies in return premia increase when noisy investor demand and short-sale impediments are stronger.
목차
1. Introduction
2. Theoretical Framework
3. Data
3.1. Corporate Bond Data
3.2. Constructing the Firm-Level Bond Return Sample
3.3. Sample Summary Statistics
4. Market Integration in Equity and Corporate Bonds
4.1. The Joint Cross Section of Equity and Bond Returns
4.2. Is the Joint Cross Section of Returns Consistent with Contingent Claim Pricing?
4.3. Are Factor Risk Premia Consistent Across Equity and Corporate Bond Markets?
5. Robustness Checks and Extensions
5.1. Using Hedge Ratios Estimated from Firm-Level Data
5.2. Omitted Factors
5.3. The E ect of Liquidity Levels and Transaction Costs on Return Premia
5.4. Investor Sentiment, Short Sale Constraint, and Cross-Market Return Premia
6. Conclusion