The informational efficiency of the bond market relative to the stock market has received increasing attention in recent years. For example, Kwan (1996) finds, using daily data, that stock returns lead bond returns, suggesting that stocks may be informationally more efficient than bonds, while Hotchkiss and Ronen (2002) find, using higher-frequency (intra- day) data, that the informational efficiency of corporate bonds is similar to that of the underlying stocks.