Abstract

http://ssrn.com/abstract=1378292
 
 

References (34)



 
 

Citations (25)



 


 



Initial Evidence on the Role of Accounting Earnings in the Bond Market


Peter D. Easton


University of Notre Dame - Department of Accountancy

Steven J. Monahan


INSEAD

Florin P. Vasvari


London Business School



Abstract:     
We document that: (1) the incidence of bond trade increases during the days surrounding earnings announcements; (2) there is a bond-price reaction to the announcement of earnings; and (3) there is a positive association between annual bond returns and both annual changes in earnings and annual analysts' forecast errors. All of these effects are larger when earnings convey bad news or when the underlying bond is more risky. Taken together, our results suggest that the nonlinear payoff structure of bond securities affects the role of accounting earnings in the bond market.

Number of Pages in PDF File: 60

JEL Classification: G12, M41, G29, G32

working papers series


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Date posted: April 27, 2009  

Suggested Citation

Easton, Peter D. and Monahan, Steven J. and Vasvari, Florin P., Initial Evidence on the Role of Accounting Earnings in the Bond Market. Available at SSRN: http://ssrn.com/abstract=1378292 or http://dx.doi.org/10.1111/j.1475-679X.2009.00333.x

Contact Information

Peter D. Easton (Contact Author)
University of Notre Dame - Department of Accountancy ( email )
Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-6096 (Phone)
574-631-5127 (Fax)
Steven J. Monahan
INSEAD ( email )
Boulevard de Constance
PMLS 1.24
F-7705 Fontainebleau Cedex, 77305
France
+33 1 60 72 92 14 (Phone)
+33 1 60 72 92 53 (Fax)
HOME PAGE: http://www.insead.edu/facultyresearch/faculty/profiles/smonahan/

INSEAD Logo

Florin P. Vasvari
London Business School ( email )
Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom
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References:  34
Citations:  25

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