Abstract
The dissertation focuses on the effect of business media on corporate bond market, which is shown in two chapters.In chapter 1, we study the media effect on corporate bond momentum. This paper shows that media information induces momentum in corporate bonds. Using a comprehensive media coverage dataset from RavenPack News Analytics, we find that bonds with high media coverage exhibit stronger momentum than those with low coverage. This media-based momentum concentrates on non-investment-grade (NIG) bonds. Media tone enhances the effect of news coverage, and informed trading of bonds with high media coverage strengthens the momentum. Momentum reverses in the long run, with bonds of higher media coverage experiencing more pronounced reversals. Results suggest that media coverage is a driving force for the NIG bond return momentum documented in the literature.
In chapter 2, we document strong momentum spillover effect in the cross-section of corporate bonds based on news linkage. The bond peer momentum constructed from news linkage (NCR) significantly and positively predicts future 1-month bond returns, and this finding is robust to various controls. A long-short strategy realizes significant profits of 0.22% per month, which cannot be explained by various bond and stock factors. The return predictive ability of NCR is stronger for bonds with higher credit risk, smaller issue size and longer maturity. Slow information diffusion is the underlying reason for such predictive effect of NCR on bond returns.
| Date of Award | 24 Jul 2025 |
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| Original language | English |
| Awarding Institution |
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| Supervisor | Junbo WANG (Supervisor) |