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Mirela Sandulescu (University of Lugano)

13 January 2020 @ 12:00 - 13:15

 

Details

Date:
13 January 2020
Time:
12:00 - 13:15
Event Category:
Academic Events

“How Integrated Are Corporate Bond and Stock Markets?”

Abstract: In this paper, I study the degree of market integration between US corporate bonds and stocks of the corresponding issuing firms, accounting for their characteristics. I find that short-selling constraints are essential restrictions to optimal Sharpe ratio portfolios that yield admissible portfolio positions and implied pricing errors within quoted bid-ask spreads. My empirical evidence suggests that larger firms, with more liquid corporate bonds and stocks, appear to be more integrated. Similarly, firms that are more leveraged, have a higher asset growth and profitability feature a greater extent of integration between their debt and equity securities.