Firm-specific stock and bond predictability: New evidence from Canada

N. Cao, Valentina Galvani and S. Gubellini

International Review of Economics & Finance, 2017, vol. 51, issue C, 174-192

Abstract: Asynchronous and contemporaneous links between the values of individual stocks and bonds issued by the same firm offer indications on how firm-specific information streams between the stock and bond markets. We examine these links using a novel database including bonds issued by Canadian firms over three decades. The overall results provide strong evidence of information flows streaming from the stock to the bond market, and suggest that significant bidirectional information flows were triggered by the 2007 financial crisis. Further, information regarding the mean of the firm's value, rather than its volatility, prevails in driving contemporaneous variations in stocks and bonds.

Keywords: Bond yields; Stock returns; Bond-stock correlations; Market efficiency (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:51:y:2017:i:c:p:174-192

DOI: 10.1016/j.iref.2017.05.007

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