Return predictability in the corporate bond market along the supply chain

被引：14

作者：

Chen, Long ^{[1
]}

Zhang, Gaiyan ^{[2
]}

Zhang, Weina ^{[3
]}

机构：

[1] Cheung Kong Grad Sch Business, Beijing, Peoples R China

[2] Univ Missouri, Coll Business Adm, Dept Finance & Legal Studies, One Univ Blvd, St Louis, MO 63121 USA

[3] Natl Univ Singapore, NUS Business Sch, Dept Finance, 15 Kent Ridge Dr, Singapore 119245, Singapore

来源：

JOURNAL OF FINANCIAL MARKETS | 2016年 / 29卷

关键词：

Corporate bonds; Cash flow; Credit risk; Information; Supply chain; Return predictability; INVESTOR PSYCHOLOGY; YIELD SPREADS; INFORMATION; UNDERREACTION; OVERREACTION; ATTENTION; MOMENTUM; RISK;

D O I：

10.1016/j.finmar.2016.03.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We explore how efficiently new information transmits along the supply chain in the corporate bond market. We find a strong predictability of the lagged bond returns of customers for related firm- and industry-level future bond returns. This is likely due to investors' inattention to cash flow-related news along the supply chain. Moreover, the lagged bond returns of suppliers only predict the future bond returns of those firms that have less bargaining power. Overall, our results suggest that information along the supply chain travels more gradually in the bond market than the stock market. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：66 / 86

页数：21

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