Empirical studies on the cross-section of corporate bond and stock markets

Jeroen van Zundert

Research output: ThesisDoctoral ThesisScientific

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Abstract

This dissertation contains five empirical studies on the efficiency of corporate bond and stock markets. In Chapter 2, the pricing of interest rate risk in the stock market is analyzed. Over the long run, 1927 to 2015, the price of bearing interest rate risk is positive as expected, but there is substantial time variation in this premium. Chapter 3 investigates the cross-sectional relation between firm-level stock and corporate bond expected returns. In contrast to theory, a strong negative relation between bond-implied stock returns and realized stock returns is found in the data. In Chapter 4 the role of cross-sectional volatility dispersion in the momentum effect for both stock and corporate bond markets is analyzed. The inclusion of volatility in the construction of the momentum portfolio vastly improves the risk-return profile. Chapter 5 studies the spilling over of past stock returns to future corporate bond returns. There is strong evidence for this momentum spillover effect, especially if systematic returns are removed from the stock momentum signal. Chapter 6 concludes by estimating premiums for the size, low-risk, value and momentum factors in investment grade and high yield corporate bond markets. These factors, well-known in stock markets, also have positive and significant premiums in the corporate bond market.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Driessen, Joost, Promotor
  • de Jong, Frank, Promotor
Award date19 Jan 2018
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 549 2
Publication statusPublished - 2018

Fingerprint

Corporate bonds
Empirical study
Stock market
Cross section
Bond market
Momentum
Stock returns
Premium
Interest rate risk
Factors
Time variation
Inclusion
Risk-return
Bond returns
Momentum effect
Spillover effects
Pricing
Expected returns

Cite this

van Zundert, J. (2018). Empirical studies on the cross-section of corporate bond and stock markets. Tilburg: CentER, Center for Economic Research.
van Zundert, Jeroen. / Empirical studies on the cross-section of corporate bond and stock markets. Tilburg : CentER, Center for Economic Research, 2018. 198 p.
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abstract = "This dissertation contains five empirical studies on the efficiency of corporate bond and stock markets. In Chapter 2, the pricing of interest rate risk in the stock market is analyzed. Over the long run, 1927 to 2015, the price of bearing interest rate risk is positive as expected, but there is substantial time variation in this premium. Chapter 3 investigates the cross-sectional relation between firm-level stock and corporate bond expected returns. In contrast to theory, a strong negative relation between bond-implied stock returns and realized stock returns is found in the data. In Chapter 4 the role of cross-sectional volatility dispersion in the momentum effect for both stock and corporate bond markets is analyzed. The inclusion of volatility in the construction of the momentum portfolio vastly improves the risk-return profile. Chapter 5 studies the spilling over of past stock returns to future corporate bond returns. There is strong evidence for this momentum spillover effect, especially if systematic returns are removed from the stock momentum signal. Chapter 6 concludes by estimating premiums for the size, low-risk, value and momentum factors in investment grade and high yield corporate bond markets. These factors, well-known in stock markets, also have positive and significant premiums in the corporate bond market.",
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van Zundert, J 2018, 'Empirical studies on the cross-section of corporate bond and stock markets', Doctor of Philosophy, Tilburg University, Tilburg.

Empirical studies on the cross-section of corporate bond and stock markets. / van Zundert, Jeroen.

Tilburg : CentER, Center for Economic Research, 2018. 198 p.

Research output: ThesisDoctoral ThesisScientific

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T1 - Empirical studies on the cross-section of corporate bond and stock markets

AU - van Zundert, Jeroen

N1 - CentER Dissertation Series Volume: 548

PY - 2018

Y1 - 2018

N2 - This dissertation contains five empirical studies on the efficiency of corporate bond and stock markets. In Chapter 2, the pricing of interest rate risk in the stock market is analyzed. Over the long run, 1927 to 2015, the price of bearing interest rate risk is positive as expected, but there is substantial time variation in this premium. Chapter 3 investigates the cross-sectional relation between firm-level stock and corporate bond expected returns. In contrast to theory, a strong negative relation between bond-implied stock returns and realized stock returns is found in the data. In Chapter 4 the role of cross-sectional volatility dispersion in the momentum effect for both stock and corporate bond markets is analyzed. The inclusion of volatility in the construction of the momentum portfolio vastly improves the risk-return profile. Chapter 5 studies the spilling over of past stock returns to future corporate bond returns. There is strong evidence for this momentum spillover effect, especially if systematic returns are removed from the stock momentum signal. Chapter 6 concludes by estimating premiums for the size, low-risk, value and momentum factors in investment grade and high yield corporate bond markets. These factors, well-known in stock markets, also have positive and significant premiums in the corporate bond market.

AB - This dissertation contains five empirical studies on the efficiency of corporate bond and stock markets. In Chapter 2, the pricing of interest rate risk in the stock market is analyzed. Over the long run, 1927 to 2015, the price of bearing interest rate risk is positive as expected, but there is substantial time variation in this premium. Chapter 3 investigates the cross-sectional relation between firm-level stock and corporate bond expected returns. In contrast to theory, a strong negative relation between bond-implied stock returns and realized stock returns is found in the data. In Chapter 4 the role of cross-sectional volatility dispersion in the momentum effect for both stock and corporate bond markets is analyzed. The inclusion of volatility in the construction of the momentum portfolio vastly improves the risk-return profile. Chapter 5 studies the spilling over of past stock returns to future corporate bond returns. There is strong evidence for this momentum spillover effect, especially if systematic returns are removed from the stock momentum signal. Chapter 6 concludes by estimating premiums for the size, low-risk, value and momentum factors in investment grade and high yield corporate bond markets. These factors, well-known in stock markets, also have positive and significant premiums in the corporate bond market.

M3 - Doctoral Thesis

SN - 978 90 5668 549 2

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

van Zundert J. Empirical studies on the cross-section of corporate bond and stock markets. Tilburg: CentER, Center for Economic Research, 2018. 198 p. (CentER Dissertation Series).