The informational efficiency of the Norwegian corporate bond market : an empirical analysis of predictability in cross-market returns between stocks and corporate bonds in Norway
Master thesis
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http://hdl.handle.net/11250/2560658Utgivelsesdato
2018Metadata
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- Master Thesis [4515]
Sammendrag
This paper examines the relative informational efficiency of the Norwegian corporate bond
market. To overcome problems with infrequent trading, we supplement transaction data
for bonds and stocks with bond price estimates, and employ a VAR model to determine
predictability in cross-market returns. In periods where news about common factors are
more prominent, we find evidence of stocks leading bonds. In contrast, during periods of
increased investor awareness, firm-specific news typically dominates, and related bonds
and stocks exhibit equal informational efficiency. These findings suggest that the type
of new information revealed might determine whether bondholders choose to enter the
market.