Which factors for corporate bond returns?

Dang, T. D., Hollstein, F. and Prokopczuk, M. (2023) Which factors for corporate bond returns? The Review of Asset Pricing Studies, 13 (4). pp. 615-652. ISSN 2045-9939 doi: 10.1093/rapstu/raad005

Abstract/Summary

Factors related to carry, duration, equity momentum, and the term structure are the most important risk factors in corporate bond markets. From a large set of factor candidates, we condense an optimal model with a two-step approach. First, we filter out factors that do not systematically move bond prices. Second, we use a Bayesian model selection approach to determine the optimal, parsimonious model. Many prominent factors do not move prices or are redundant. We document the new model’s good performance compared to that of existing models in time-series and cross-sectional tests and analyze the economic drivers of the factors. (JEL G12, C11, C52)

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/109803
Identification Number/DOI	10.1093/rapstu/raad005
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Society for Financial Studies
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