What Do We Know About Corporate Bond Returns?

Autor:	Zhan Shi, Jing-Zhi Huang
Rok vydání:	2021
Předmět:	Corporate bond Economics and Econometrics Variation (linguistics) Economics Monetary economics Finance
Zdroj:	Annual Review of Financial Economics. 13:363-399
ISSN:	1941-1375 1941-1367
DOI:	10.1146/annurev-financial-110118-123129
Popis:	Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as time-series evidence. We then present a model-based analysis of individual corporate bond returns using the structural approach for credit risk modeling. We show, among other things, that the expected corporate bond return implied by the Merton model predicts 1-month-ahead corporate bond returns in the cross section.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::9701023b7eac040c2a9e7f6cc1caec23 https://doi.org/10.1146/annurev-financial-110118-123129 Zobrazit plný text záznamu