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Faculty Selected Works of Gaiyan Zhang
Article
Return predictability in the corporate bond market along the supply chain
Journal of Financial Markets (2016)
  • Long Chen, Cheung Kong Graduate School of Business
  • Gaiyan Zhang, University of Missouri–St. Louis
  • Weina Zhang, National University of Singapore
Link
Abstract
We explore how efficiently new information transmits along the supply chain in corporate bond market. We find a strong predictability of the lagged bond returns of customers for related firm- and industry-level future bond returns. This is likely due to investors’ inattention to cash-flow related news along the supply chain. Moreover, the lagged bond returns of suppliers only predict the future bond returns of those firms that have less bargaining power. Overall, our results suggest that information along the supply chain travels more gradually in the bond market than the stock market.
Keywords
  • Corporate Bonds,
  • Cash Flow,
  • Credit Rating,
  • Credit Risk,
  • Earnings,
  • Information,
  • Supply Chain,
  • Return Predictability
Disciplines
Publication Date
January 6, 2016
DOI
10.2139/ssrn.2427136
Citation Information
Long Chen, Gaiyan Zhang and Weina Zhang. "Return predictability in the corporate bond market along the supply chain" Journal of Financial Markets Vol. 29 (2016) p. 66 - 86
Available at: http://works.bepress.com/gaiyan-zhang/4/