| Abstract : | Considerable theoretical and empirical research has been undertaken in an attempt to test financial markets' informational efciency. Although there is an extensive literature concerningequity markets, examining the informational role of credit markets has remaineda challenging task for both academics and practitioners. The informational eficiency ofcredit markets has been explored either in relative terms, by investigating its interactionwith the equity markets, or on a standalone basis, by examining its reaction around eventsthat contain corporate financial information.
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