The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis

By Edith S. Hotchkiss, Tavy Ronen. 2002

322 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8d2c5a15d4a25f7d417e916b9ec68c28d5828d94

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Citations in the corpus

The Determinants of Credit Spread Changes (2001, unknown): “Recent studies by Schultz (1998), Chakravarty and Sarkar (1999), and Hotchkiss and Ronen (1999) conclude that the stock and bond markets are equally adept at efficiently incorporating new information into prices (i.e., “pricing efficiency” ).”
The debt market relevance of management earnings forecasts: evidence from before and during the credit crisis (2011, unknown): “…that makes generalization of results difficult, Datta and Dhillon (1993) find that bond prices respond positively (negatively) to unexpected earnings increases (decreases) while Hotchkiss and Ronen (2002) find that intra-day bond prices quickly incorporate the information in earnings announcements.”
Short Selling and the Price Discovery Process (2013, methodology): “Hotchkiss and Ronen (2002) examine the informational efficiency of corporate bond prices using a simplified procedure suggested by Hasbrouck (1993).”
Corporate Bond Market Transparency and Transaction Costs (2004, unknown): “Hotchkiss and Ronen (2002) also incorporate indexes into return models.”
Click or Call? Auction versus Search in the Over‐the‐Counter Market (2012, background): “Hotchkiss and Ronen (2002) conclude that the informational efficiency of corporate bond prices is similar to that of the underlying stocks.”
Secondary Trading Costs in the Municipal Bond Market (2006, background): “…Amihud and Mendelson (1991), Blume, Keim, and Patel (1991), Cornell and Green (1991), Warga (1992), Elton and Green (1998), Alexander, Edwards, and Ferri (2000a and 2000b), Hotchkiss and Ronen (2002), Hotchkiss, Warga, and Jostova (2002), Kalimpalli and Warga (2002), and Downing and Zhang (2003).”
Corporate Yield Spreads and Bond Liquidity (2007, methodology): “This assumption finds support from Hotchkiss and Ronen (2002), who conclude that the informational efficiency of bond prices is similar to that of the underlying equity. The marginal trader is assumed to assess the value of information before deciding to trade relative to the expected liquidity cost”
Institutional Stock Trading on Loan Market Information (2011, unknown): “…thus acquired.9 Our findings contribute to the important and growing literature that investigates cross-market information flow, including Hotchkiss and Ronen (2002), Longstaff, Mithal, and Neis (2005), Blanco, Brennan, and Marsh (2005), Altman, Gande, and Saunders (2010), and Acharya…”
The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis (2007, unknown): “In this subsection, we examine the bond-level results more closely in order to identify the cross-sectional determinants of predictability and potential explanations for why our portfolio-level results differ from those of Hotchkiss and Ronen (2002).”