Common factors in corporate bond returns
Journal
Journal of Investment Management
Subject
Accounting
Publishing details
Authors / Editors
Israel R;Palhares D;Richardson S
Biographies
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
Available on ECCH
No