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Common factors in corporate bond returns


Journal of Investment Management



Authors / Editors

Israel R;Palhares D;Richardson S



Publication Year



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.


Corporate bonds; Mispricing

Available on ECCH


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