Empirical Asset Pricing II最新文献

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Do Higher Value Firms Voluntarily Disclose More Information? Evidence from China 高价值公司是否自愿披露更多信息?来自中国的证据
Empirical Asset Pricing II Pub Date : 2013-01-22 DOI: 10.2139/ssrn.2205403
J. Chen, Youchao Tan, Xinsheng Cheng, S. Gong
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引用次数: 37
Takeover Risk and the Correlation Between Stocks and Bonds 收购风险与股票与债券的相关性
Empirical Asset Pricing II Pub Date : 2009-04-16 DOI: 10.2139/ssrn.965852
Karan Bhanot, S. Mansi, John K. Wald
{"title":"Takeover Risk and the Correlation Between Stocks and Bonds","authors":"Karan Bhanot, S. Mansi, John K. Wald","doi":"10.2139/ssrn.965852","DOIUrl":"https://doi.org/10.2139/ssrn.965852","url":null,"abstract":"Existing research suggests that, for a given firm, stock returns and bond prices are positively related, and this implies a negative relation between stock returns and bond spreads. In this paper, we show how takeover risk influences this relation. Bondholders of high-rated firms can suffer losses in a takeover, particularly if the takeover is largely funded with debt, resulting in a more positive (or less negative) correlation between stock returns and bond spread changes. Consistent with this notion and based on a large sample of data covering the period from 1980 to 2000, we find that high-rated firms which are likely to be taken over have a more positive correlation between stock returns and bond spread changes, while target firms with a poison put or an indebtedness covenant have a more negative correlation. Overall, our findings have implications for the pricing and hedging of bonds and default risk based financial products such as credit default swaps.","PeriodicalId":447619,"journal":{"name":"Empirical Asset Pricing II","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129227363","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
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