Fang, Victor; Hung, Chi-Hsiou D. - In: Journal of International Financial Markets, … 33 (2014) C, pp. 99-114
In this paper we investigate the bond price effect upon the information arrival of firm-specific idiosyncratic risk. We consider idiosyncratic dispersion and idiosyncratic volatility that capture, respectively, the direction of information and the magnitude of idiosyncratic risk. We find that...