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- W4214707952 endingPage "106447" @default.
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- W4214707952 abstract "We study the cross-sectional relation between stock and corporate bond markets. By correcting credit spreads of corporate bonds for expected default losses and by using equity-bond elasticities, we obtain a firm’s expected bond-implied stock return, which we then compare to its realized stock return. We find, surprisingly, a strong negative cross-sectional relation between these expected and realized stock returns. We show that this effect is not simply a restatement of the distress risk puzzle or other well-known anomalies in stock and corporate bond markets. This negative cross-sectional relation is strongest for high-risk firms and for liquid stocks." @default.
- W4214707952 created "2022-03-02" @default.
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- W4214707952 date "2022-04-01" @default.
- W4214707952 modified "2023-10-14" @default.
- W4214707952 title "Stocks versus corporate bonds: A cross-sectional puzzle" @default.
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- W4214707952 doi "https://doi.org/10.1016/j.jbankfin.2022.106447" @default.
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