Common factors in corporate bond returns
Forthcoming in the Journal of Investment Management
51 Pages Posted: 13 Mar 2015 Last revised: 31 Aug 2017
Date Written: June 5, 2017
We find that four well-known characteristics (carry, defensive, momentum and value) explain a significant portion of the cross-sectional variation in corporate bond excess returns. These characteristics have positive risk-adjusted expected returns and are not subsumed by traditional market premia or respective equity anomalies. The returns are economically significant, not explained by macroeconomic exposures, and there is some evidence that mispricing plays a role, especially for momentum.
Keywords: corporate bonds, mispricing
JEL Classification: G12, G14, M41
Suggested Citation: Suggested Citation