Common factors in corporate bond returns

Israel, R and Palhares, D and Richardson, S A (2017) Common factors in corporate bond returns. Journal of Investment Management. ISSN 1545-9144 (In Press)

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Abstract

We find that four well-known characteristics (carry, defensive, momentum and value) explain a significant portion of the cross-sectional variation in corporate bond excess returns. These characteristics have positive risk-adjusted expected returns and are not subsumed by traditional market premia or respective equity anomalies. The returns are economically significant, not explained by macroeconomic exposures, and there is some evidence that mispricing plays a role, especially for momentum.

Item Type: Article
Subjects: C > Corporate bonds
Subject Areas: Accounting
Date Deposited: 01 Sep 2017 09:21
Last Modified: 08 Sep 2017 16:54
URI: http://lbsresearch.london.edu/id/eprint/884

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