Fixed Income Falling Knives Phase Two: Examining the Relationship between Issuer-Specific Bond and Equity Returns

32 Pages Posted: 20 Jun 2008 Last revised: 1 Sep 2009

Date Written: October 1, 2007

Abstract

Previous research by the Brandes Institute documented the opportunities available by investing in falling knives (securities whose prices have fallen sharply). Now, in new research on this topic, we investigated the relationship between bond and equity prices in this context. Specifically, we looked for evidence of whether a company's stock price before a fixed income falling knife event gave any indication of its subsequent bond prices, or vice versa.

Keywords: fixed income, falling knives, bond, equity, investors, investment, spread widening

Suggested Citation

Institute, Brandes, Fixed Income Falling Knives Phase Two: Examining the Relationship between Issuer-Specific Bond and Equity Returns (October 1, 2007). Brandes Institute Research Paper No. 2007-08. Available at SSRN: https://ssrn.com/abstract=1147135 or http://dx.doi.org/10.2139/ssrn.1147135

Brandes Institute (Contact Author)

Brandes Investment Partners ( email )

11988 El Camino Real, Suite 500
P.O. Box 919048
San Diego, CA 92191-9048
United States

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