海大人文講壇2019年第18講-王軍波:Return Synchronicity in the Corporate Bond Market

發布時間:2019-04-23 閱讀: 16 添加: 管理員


    目:Return Synchronicity in the Corporate Bond Market

內容提要:This report is about the return synchronicity in the corporate bond market. We find that investment-grade bonds, bonds without split ratings and bonds issued by public firms have higher level of return synchronicity. Consistent with the specific event intensity explanation, both rating changes and change intensity are negatively related to bond return synchronicity, and this relationship is more pronounced for bond-years with rating downgrades, more rating changes, and “fallen angel” events. The empirical results are robust to different model specifications, bond market return proxies, and controls.

    人:王軍波

主講人簡介:王軍波,香港城市大學經濟與金融系教授,博士生導師,國家基金委海外杰青獲得者。美國Syracuse大學金融學博士和中國科學院管理學博士,曾在Syracuse大學任教。主要從事固定收益證券,資產定價,公司金融以及市場微觀結構等領域的研究。多項研究成果刊登在Journal of Finance、Journal of Financial Economics和Management Science等金融領域頂級期刊。

    間:4月26日周五 16:00-17:30

    點:經濟學院112

主辦單位:文科處

承辦單位:經濟學院

人:劉浩東


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