Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence
| Autor: | Jennie Bai, Quan Wen, Turan G. Bali |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Strategy and Management Bond 05 social sciences Equity (finance) 04 agricultural and veterinary sciences Corporate bond Accounting 0502 economics and business Systematic risk Econometrics Economics 0401 agriculture forestry and fisheries Bond market Expected return Finance Risk return |
| Zdroj: | Journal of Financial Economics. 142:1017-1037 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2021.05.003 |
| Popis: | We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also propose novel measures of systematic and idiosyncratic risk for individual corporate bonds and find a significantly positive cross-sectional relation between systematic risk and expected bond returns, whereas there is no significant link between idiosyncratic risk and future bond returns. We provide an explanation for the significance of systematic (idiosyncratic) risk based on different investor preferences and informational frictions in the bond (equity) market. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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