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海大人文讲坛2019年第18讲-王军波:Return Synchronicity in the Corporate Bond Market

时间:2019-04-23浏览:963


    目:Return Synchronicity in the Corporate Bond Market

内容提要: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:王军波

主讲人概况:王军波,香港城市大学经济与金融系教授,博士生导师,国家基金委海外杰青获得者。美国Syracuse大学金融学博士和中国威尼斯官方app下载院管理学博士,曾在Syracuse大学任教。主要从事固定收益证券,资产定价,企业金融以及市场微观结构等领域的研究。多项研究成果刊登在Journal of Finance、Journal of Financial Economics和Management Science等金融领域顶级期刊。

    间:4月26日周五 16:00-17:30

    点:经济学院112

主办单位:文科处

承办单位:经济学院

人:刘浩东


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