We investigate whether anomalies typically explained by the q-theory exist in corporate bond returns and thus whether the equity and bond markets are integrated with respect to risk premia associated with these anomalies. We find that the two markets are not integrated, either through factors suggested by the q-theory or structural credit risk models. In particular, pro tability and net issuance anomalies do not exist in corporate bond returns. Although asset growth and investment anomalies exist in bond returns, the associated risk premia are too large, compared with risk premia implied by equity returns. Long-short strategies based on bond portfolios offer superior investment opportunities to those spanned by equity portfolios. This disintegration in the relative risk premia intensi es with high investor sentiment and is concentrated on the short side of anomaly portfolios, suggesting potential overpricing in corporate bonds relative to equity. In conclusion, theories based on rational pricing only partially explain the joint cross sections of equity and bond returns, while potential mispricing breaks debt-equity market
integration.
자료실
자료실
[2014년 제 4차] Anomalies and Market (Dis)Integration
작성자 : 관리자
조회수 : 1062
게시일 :
2014-12-12