ISSUES OF FACTOR INVESTMENT IN THE CORPORATE BOND MARKET

Autor:	V. D. Igonin, Nikolai Grigorievich Stoletovs, Vladimir, Russian Federation, A. A. Mishin, K. E. Kuchinsky
Rok vydání:	2020
Předmět:	Corporate bond Monetary economics Business Investment (macroeconomics)
Zdroj:	EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA. 2:81-89
ISSN:	2308-927X 2227-3891
DOI:	10.36871/ek.up.p.r.2020.04.02.013
Popis:	The article examines the effectiveness of portfolios with a low level of risk, cost, and factor momentum in the corporate bond market. This paper provides empirical evidence that portfolios of size, risk-free rate, cost, and momentum factors create economically significant and statistically significant Alphas in the corporate bond market. In addition, distribution by corporate bond factors provides added value, in addition to distribution by shares in the context of multiple assets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::dd6332abafbfadf8c898b6d02cc6982f https://doi.org/10.36871/ek.up.p.r.2020.04.02.013 Zobrazit plný text záznamu