我院霍晓霖老师的合作论文“Economic Links from Bonds and Cross-Stock Return Predictability”于2025年5月在Journal of Financial Economics发表。

论文摘要

Identifying firms’ bond-market-specific economic links through credit-rating comovement of their corporate bonds, a long-short strategy for stocks based on these links generates a risk-adjusted alpha of 0.45% per month, which cannot be explained by existing economic links in the literature. Market segmentation between the equity and bond markets appears to be the underlying mechanism: (i) The cross-return predictability is muted in the bond market; (ii) The cross-return predictability is mitigated in the presence of cross-holding investors; (iii) Equity analysts slowly incorporate information from rating-comovement links to their forecasts.

作者介绍

霍晓霖，对外经济贸易大学风险管理与保险学系助理教授（链接）