The relative informational efficiency of corporate retail bonds: evidence from the London stock exchange

Tolikas, Konstantinos ORCID: https://orcid.org/0000-0001-8281-0709 2016. The relative informational efficiency of corporate retail bonds: evidence from the London stock exchange. International Review of Financial Analysis 46 , pp. 191-201. 10.1016/j.irfa.2016.05.003

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Abstract

I examine the relative informational efficiency of the London Stock Exchange's newly launched Order book for Retail Bonds (ORB). I find that the daily returns for the stocks of the issuing firms lead the daily returns of the retail bonds born in the ORB. This finding also holds for pre-existing bonds that were transferred to the ORB from the LSE's Main Market and for the bonds with different credit ratings, issue sizes, and maturity times. I also find that bonds have very limited predictive ability for stock returns. Overall, the results provide strong evidence that the underlying stock market is relatively more efficient than the ORB. Further, the relative informational inefficiency of the ORB implies profitable trading opportunities for private investors

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Elsevier
ISSN:	1057-5219
Date of First Compliant Deposit:	12 May 2016
Date of Acceptance:	3 May 2016
Last Modified:	15 Nov 2024 08:45
URI:	https://orca.cardiff.ac.uk/id/eprint/90824

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