The price and volume response to earnings announcements in the corporate bond market

Melissa Woodley, Peter DaDalt, John R. Wingender

Research output: Contribution to journalArticlepeer-review

Abstract

We examine abnormal returns and trading activity in bond markets around earnings announcements. Previous work provides mixed evidence on the relative impact of positive and negative surprises and the degree of response in investment-grade and speculative-grade bonds. We find that these announcements convey value-relevant information for both positive and negative earnings surprises in both investment and speculative-grade bonds. We also document significant heterogeneity in the response across industries, with muted responses in both abnormal returns and trading activity for bonds of firms in the financial and utilities industries.

Original languageEnglish (US)
Pages (from-to)669-696
Number of pages28
JournalFinancial Review
Volume55
Issue number4
DOIs
StatePublished - Nov 1 2020

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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