• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Inequalities in Health and Healthcare
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times
Home | Events Archive | Disagreement, Liquidity, and Price Drifts in the Corporate Bond Market
Seminar

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


  • Location
    Online
  • 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

https://vu-live.zoom.us/j/95310696828?pwd=anoxcUYyS0RBUkhmL1ZZNVFsL3kvQT09


Meeting ID: 953 1069 6828

Passcode: 314889