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Home | Events Archive | Disagreement, Liquidity, and Price Drifts in the Corporate Bond Market

Disagreement, Liquidity, and Price Drifts in the Corporate Bond Market

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    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


Meeting ID: 953 1069 6828

Passcode: 314889