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Factors in Swiss franc corporate bond returns

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  • Samuel Manser

    (Zurich Cantonal Bank)

Abstract

This paper examines the cross-sectional drivers of credit returns for Swiss franc corporate bonds in a comprehensive sample including trade-based prices and effective bid-ask spreads from 2007 to 2022. Characteristics for momentum, carry, value, and defensive explain a significant part of the variation in future credit returns across companies. Value is based on a market-based credit risk model. Except for carry, the characteristics also deliver positive risk-adjusted returns. These results are robust for trade-based prices and different subsamples but transaction costs significantly reduce the profitability of the characteristics. After transaction costs, value and a combination of the characteristics remain profitable and continue to deliver significant risk-adjusted returns.

Suggested Citation

  • Samuel Manser, 2023. "Factors in Swiss franc corporate bond returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 277-296, September.
    • Handle: RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00432-3
    DOI: 10.1007/s11408-023-00432-3
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    Cited by:

    1. John Garcia, 2024. "Herding the crowds: how sentiment affects crowdsourced earnings estimates," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(3), pages 331-370, September.

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