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- W2913403897 abstract "Contemporaneous correlations between stock and bond price changes reveal whether prices are predominantly affected by firm-specific news about the volatility of the firm value or about its mean. The correlation between past, and leading, stock returns with current bond yield changes instead offer some indications on how information flows between the bond and stock market. This paper analyzes these correlations using monthly data for individual bonds issued by Canadian publicly traded firms over the years from 1984 to 2010. A pooled regression and a series of individual-bond regressions provide evidence that shocks to the mean value of the issuing firm dominate those affecting the firm’s variance. We also find strong evidence of information flows from the stock market to the bond market, which can be interpreted as a predictability of bond price movements given past stock returns. Our results are robust to the inclusion of international economic indicators, and are surprisingly similar to those obtained in Kwan (1996) for bonds and stocks issued by the U.S. companies." @default.
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- W2913403897 date "2011-01-01" @default.
- W2913403897 modified "2023-09-26" @default.
- W2913403897 title "Firm-Specific Shocks for Corporate Bonds of Publicly Traded Canadian Companies" @default.
- W2913403897 doi "https://doi.org/10.2139/ssrn.1928873" @default.
- W2913403897 hasPublicationYear "2011" @default.
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