Time Varying Factors in the Performance of Corporate Bond Indices

62 Pages Posted: 3 Jan 2019

See all articles by Wolfgang Aussenegg

Wolfgang Aussenegg

Vienna University of Technology

Louisa Chen

University of Sussex

Ranko Jelic

University of Sussex Business School

Dietmar Maringer

University of Basel

Date Written: September 22, 2018

Abstract

We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The conditional response is particularly evident for the liquidity factor. We also compare models with different transition variables and identify key drivers of regime switches in the excess returns of sample bond indices.

Keywords: Corporate Bond Index, Regime Switching Threshold Model, Model Selection

JEL Classification: C51, C52, C63, G01, G11, G12

Suggested Citation

Aussenegg, Wolfgang and Chen, Louisa and Jelic, Ranko and Maringer, Dietmar, Time Varying Factors in the Performance of Corporate Bond Indices (September 22, 2018). Available at SSRN: https://ssrn.com/abstract=3303160 or http://dx.doi.org/10.2139/ssrn.3303160

Wolfgang Aussenegg

Vienna University of Technology ( email )

Theresianumgasse 27
Vienna, A-1040
Austria
+43 1 58801 33082 (Phone)
+43 1 58801 33098 (Fax)

HOME PAGE: http://www.imw.tuwien.ac.at/fc/people/wolfgang_aussenegg/

Louisa Chen

University of Sussex ( email )

Falmer, Brighton BN1 9SL
United Kingdom

Ranko Jelic (Contact Author)

University of Sussex Business School ( email )

Falmer, Brighton BN1 9SL
United Kingdom
+441273872597 (Phone)

Dietmar Maringer

University of Basel ( email )

Petersplatz 1
Basel, CH-4003
Switzerland

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