Common risk factors in the cross-section of corporate bond returns
| Autor: | Turan G. Bali, Quan Wen, Jennie Bai |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Strategy and Management Bond 05 social sciences Downside risk 04 agricultural and veterinary sciences Monetary economics Liquidity risk Market liquidity Corporate bond Accounting 0502 economics and business Economics 0401 agriculture forestry and fisheries Bond market Finance Stock (geology) Credit risk |
| Zdroj: | Journal of Financial Economics. 131:619-642 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2018.08.002 |
| Popis: | We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds—downside risk, credit risk, and liquidity risk—and find that these novel bond factors have economically and statistically significant risk premiums that cannot be explained by long-established stock and bond market factors. We show that the newly proposed risk factors outperform all other models considered in the literature in explaining the returns of the industry- and size/maturity-sorted portfolios of corporate bonds. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect