The Short-Term Corporate Bond Anomaly

39 Pages Posted: 3 Mar 2008 Last revised: 16 Aug 2009

See all articles by Jeroen Derwall

Jeroen Derwall

Maastricht University - European Centre for Corporate Engagement; Tilburg University - School of Economics; Maastricht University - Department of Finance

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Gerben J. de Zwart

APG Asset Management

Date Written: January 14, 2009

Abstract

This paper finds that common risk factors significantly underestimate the returns on corporate bonds with a short maturity. A substantial portion of short-term corporate bond returns is independent of risk premiums associated with market risk, term and default risk, yield curve dynamics, liquidity risk and premiums associated with macro-economic variables. Comparable evidence of the short-term corporate bond anomaly also shows up in portfolios of corporate bond mutual funds, indicating that the anomaly withstands important practical issues, such as short-selling restrictions, transaction costs, and illiquidity.

Keywords: asset pricing, corporate bond returns, factor models, mutual funds

JEL Classification: E40, G10, G12, G14, G30

Suggested Citation

Derwall, Jeroen and Huij, Joop and de Zwart, Gerben J., The Short-Term Corporate Bond Anomaly (January 14, 2009). Available at SSRN: https://ssrn.com/abstract=1101070 or http://dx.doi.org/10.2139/ssrn.1101070

Jeroen Derwall (Contact Author)

Maastricht University - European Centre for Corporate Engagement ( email )

FEBA
Tongersestraat 53
Maastricht, Limburg 6200MD
Netherlands

HOME PAGE: http://www.corporate-engagement.com/

Tilburg University - School of Economics ( email )

P.O. Box 90153
NL-5000 LE Tilburg, Brabant
Netherlands

HOME PAGE: http://www.tilburguniversity.nl/webwijs/show/?uid=j.m.m.derwall

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.fdewb.unimaas.nl/finance/?page=member&id=175

Joop Huij

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Gerben J. De Zwart

APG Asset Management ( email )

P.O. Box 75283
Amsterdam, 1070 AG
Netherlands
+31-20-6048182 (Phone)

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