Common factors in corporate bond returns

Journal

Journal of Investment Management

Subject

Accounting

Publishing details

Journal of Investment Management 2018 Vol 16:2

Authors / Editors

Israel R;Palhares D;Richardson S

Biographies

Scott Richardson

Publisher

Publication Year

2018

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.

Keywords

Corporate bonds; Mispricing

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Common factors in corporate bond returns

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