Identifying firms’ bond-market-specific economic links through credit-rating comovement of their corporate bonds, a long-short strategy for stocks based on these links generates a risk-adjusted alpha of 0.45% per month, which cannot be explained by existing economic links in the literature. Market segmentation between the equity and bond markets appears to be the underlying mechanism: (i) The cross-return predictability is muted in the bond market; (ii) The cross-return predictability is mitigated in the presence of cross-holding investors; (iii) Equity analysts slowly incorporate information from rating-comovement links to their forecasts.

中文翻译：

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债券的经济联系和跨股回报的可预测性

通过公司债券的信用评级协同移动确定公司与债券市场特定的经济联系，基于这些联系的股票多空策略每月产生 0.45% 的风险调整后 alpha，这无法用文献中现有的经济联系来解释。股票市场和债券市场之间的市场分割似乎是潜在机制：（i） 债券市场的交叉回报可预测性较低;（ii） 在交叉持股投资者在场的情况下，交叉回报的可预测性得到缓解;（iii） 股票分析师慢慢地将来自评级协同链接的信息纳入他们的预测。