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The price and volume response to earnings announcements in the corporate bond market
Author(s) -
Woodley Melissa,
DaDalt Peter,
Wingender John R.
Publication year - 2020
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/fire.12242
Subject(s) - earnings , bond , monetary economics , corporate bond , investment (military) , economics , value (mathematics) , financial economics , business , finance , machine learning , politics , political science , computer science , law
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.