Hotchkiss, Edith S.; Ronen, Tavy - In: Review of Financial Studies 15 (2002) 5, pp. 1325-1354
Using a unique dataset based on daily and hourly high-yield bond transaction prices, we find the informational efficiency of corporate bond prices is similar to that of the underlying stocks. We find that stocks do not lead bonds in reflecting firm-specific information. We further examine price...