报告题目：Informed trading in the corporate bond market
报 告 人：李利芳
时 间：2022年2月20日北京时间18:00-20:00
腾讯会议号：274755702
报告人简介：Lifang Li is an associate professor at School of Economics and Finance, Xi’an Jiaotong University. She graduated from the University of Alberta (Canada) and obtained her PhD degree in Economics in June 2019. Her research interest is in the areas of financial economics, empirical asset pricing and behavioral finance, with a specialty in fixed income asset anomalies. She has published papers in Review of Finance, Journal of Banking and Finance. Her work is currently supported by the National Natural Science Foundation of China (No. 72003146).
讲座内容：Through exploring the role and information content of return outliers, I show that extreme returns are part of the information diffusion process in the corporate bond market. Credit downgrades are imbued into prices instantly and lead to strong negative returns, while upgrades take months to be fully absorbed and eventually create positive outliers. Consistent with bad news traveling faster than good news, positive outliers identify "good" winners that are bonds yielding sustained price trends on which momentum capitalizes. In contrast, bonds yielding negative outliers are "bad" losers as their price trends are short-lived. Using outliers as instruments, I compare the informational efficiency of the long and short legs of the momentum strategy and provide an explanation of why the momentum effect for corporate bonds originates from the winner portfolio.
经金学院
2022年2月19日
