INVITATION

The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE (apologies for duplicated mails!)

************************************************************************ Date: November 12 (Wednesday), 2014, 4:00 pm  Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna

Speaker: Prof. Amit Goyal, http://www.hec.unil.ch/agoyal/

Title: Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors?

ABSTRACT:  Using a comprehensive cross-section and time-series of corporate bond returns assembled from multiple data sources, we analyze whether commonly analyzed equity return predictors also predict bond returns.  There is a surprisingly strong monthly lead from equity to bond returns, indicating that new information gets reflected in the equity market first. In univariate portfolio sorts, net equity issues are positively priced in the bond market, consistent with the notion that equity is preferred when bond market is undervalued.  Profitability is negatively priced while idiosyncratic equity volatility is positively priced in the corporate bond market, suggesting that profitable and relatively less volatile firms are more attractive to bond investors, thus requiring lower returns.  Our results indicate that the bond markets do price risk, but also are susceptible to delayed information transmission relative to equities.  Finally, consistent with a relatively sophisticated institutional clientele, bonds are efficiently priced in that none of the behaviorally-motivated variables predict returns after accounting for transactions costs, though some risk-based variables continue to do so.    About Amit Goyal: Amit Goyal is professor of finance at the University of Lausanne where he holds a senior chair from the Swiss Finance Institute. Formerly on the faculty of the Goizueta Business School at Emory University (USA), he has a Ph.D. in Finance from the University of California at Los Angeles (USA). His research interests are in empirical asset pricing and pension funds. His papers have been published in a variety of academic journals including the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. He is the co-editor of Journal of Financial Markets and an associate editor at the Review of Finance.

**Please REGISTER**: Mail: gutmann-center@wu.ac.at Phone: +43-1-31336-5238   CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics Sabina Krickl www.gutmann-center.at