Journal of Financial and Quantitative Analysis · Volume 52, Issue 4 August 2017, pp. 1301-1342

资本市场异象在股票和公司债券市场上是普遍现象吗？一项实证研究

作者：Tarun Chordia (Emory University and Deakin University), Amit Goyal (University of Lausanne), Yoshio Nozawa (Board of Governors of the Federal Reserve System), Avanidhar Subrahmanyam (University of California at Los Angeles)

摘要：公司债券回报以符合有效定价的方式展现可预测性。许多股票特征，如应计利润，未预期的标准化收益和特质波动，不影响债券回报。盈利能力和资产增长与公司债券回报负相关。因为高利润或高资产增长的公司（因此更多的抵押品）应该风险较小，所需回报率较低，这些证据符合风险回报范式。过去的股票回报率与债券回报率呈正相关关系，表明股票领先债券。债券的横截面回报预测指标在考虑交易成本后一般不会提供实质性的高夏普比率。

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Tarun Chordia (Emory University and Deakin University), Amit Goyal (University of Lausanne), Yoshio Nozawa (Board of Governors of the Federal Reserve System), Avanidhar Subrahmanyam (University of California at Los Angeles)

ABSTRACT

Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds. Cross-sectional bond return predictors generally do not provide materially high Sharpe ratios after accounting for trading costs.

原文链接：https://doi.org/10.1017/S0022109017000515

翻译：陈然