The Price and Volume Response to Earnings Announcements in the Corporate Bond Market

39 Pages Posted: 2 Jul 2020

See all articles by Melissa Woodley

Melissa Woodley

Creighton University

Peter J. DaDalt

Susquehanna University

John R. Wingender

Creighton University

Multiple version iconThere are 2 versions of this paper

Date Written: June 9, 2020

Abstract

We examine abnormal returns and trading activity in bond markets around earnings announcements. Previous work provides mixed evidence on the relative impact of positive and negative surprises and the degree of response in investment-grade and speculative-grade bonds. We find that these announcements convey value-relevant information for both positive and negative earnings surprises in both investment and speculative-grade bonds. We also document significant heterogeneity in the response across industries, with muted responses in both abnormal returns and trading activity for bonds of firms in the financial and utilities industries.

Keywords: Bond Markets, Event Studies, Earnings Surprises, Trading Volume

JEL Classification: G12, G14

Suggested Citation

Woodley, Melissa and DaDalt, Peter J. and Wingender, John R., The Price and Volume Response to Earnings Announcements in the Corporate Bond Market (June 9, 2020). Available at SSRN: https://ssrn.com/abstract=3623484 or http://dx.doi.org/10.2139/ssrn.3623484

Melissa Woodley

Creighton University ( email )

United States

Peter J. DaDalt (Contact Author)

Susquehanna University ( email )

Selinsgrove, PA 17870
United States
5703724524 (Phone)

John R. Wingender

Creighton University ( email )

2500 California Plaza
Omaha, NE 68178
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
41
Abstract Views
420
PlumX Metrics