We examine the short-term stock reactions to yield curve inversions. Our country-level analysis reveals that including the United States, only 13 out of 41 countries exhibit significantly negative stock returns when yield curves invert. Hence, while inverted yield curves act as a negative signal in some countries, it is not a ubiquitous rule internationally. Our firm-level analysis is the first of its kind. We find that company stocks exhibit strong responses with 3-day cumulative abnormal returns averaging −1.22% globally and − 2.83% for US firms. The results suggest that corporate bond yield curves contain valuable information of firms' future performance.

中文翻译：

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收益率曲线倒置：国家层面和公司层面股票反应的研究

我们研究了短期股票对收益率曲线倒置的反应。我们的国家层面分析显示，包括美国在内，41 个国家中只有 13 个国家在收益率曲线反转时表现出显着的负股票回报。因此，虽然收益率曲线倒挂在一些国家是一个负面信号，但它在国际上并不是普遍存在的规则。我们的公司层面的分析是同类中的第一个。我们发现公司股票表现出强烈的反应，全球平​​均 3 天累积异常回报率为 -1.22%，美国公司为 -2.83%。结果表明，公司债券收益率曲线包含公司未来业绩的有价值信息。