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The cross-section of expected corporate bond returns: Betas or characteristics?

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Cited by:

  1. Marielle de Jong & Lauren Stagnol, 2016. "A fundamental bond index including solvency criteria," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 280-294, July.
  2. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  3. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
  4. Hammami, Yacine & Bahri, Maha, 2016. "On the determinants of expected corporate bond returns in Tunisia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 224-235.
  5. Arcuri Maria Cristina & Gandolfi Gino & Monteux Manoux & Verga Giovanni, 2021. "The Relevance of Liquidity and Country Risk to Euro-Denominated Bonds and the Influence of ECB Monetary Policy," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(6), pages 1-1, June.
  6. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
  7. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013. "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers 13-06, University of Cologne, Centre for Financial Research (CFR).
  8. repec:wyi:journl:002085 is not listed on IDEAS
  9. Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He, 2023. "Which Factors for Corporate Bond Returns?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 615-652.
  10. I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
  11. Lee, Kiryoung, 2022. "Which uncertainty measures matter for the cross-section of corporate bond returns? Evidence from the U.S. during 1973–2020," Finance Research Letters, Elsevier, vol. 48(C).
  12. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
  13. Su, Xuan-Qi, 2023. "Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  14. Nejadmalayeri, Ali & Mathur, Ike & Singh, Manohar, 2013. "Product market advertising and corporate bonds," Journal of Corporate Finance, Elsevier, vol. 19(C), pages 78-94.
  15. Cici, Gjergji & Gibson, Scott & Moussawi, Rabih, 2017. "Explaining and benchmarking corporate bond returns," CFR Working Papers 17-03, University of Cologne, Centre for Financial Research (CFR).
  16. Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
  17. Wang, Z. Jay & Yang, Jingyun, 2021. "Cross-trading and liquidity management: Evidence from municipal bond funds," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  18. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, vol. 110(2), pages 358-386.
  19. Li, Zhiyong & Wang, Haixu & Yu, Mei, 2023. "Beyond rocket science: A factor model for convertible bond returns," Economics Letters, Elsevier, vol. 233(C).
  20. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2014. "Fund Manager Allocation," Journal of Financial Economics, Elsevier, vol. 111(3), pages 661-674.
  21. Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013. "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 69-77.
  22. Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M., 2014. "SOX, corporate transparency, and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 145-165.
  23. Abhyankar, Abhay & Gonzalez, Angelica, 2009. "News and the cross-section of expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 996-1004, June.
  24. Christian Klein & Christoph Stellner, 2014. "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 29-61, February.
  25. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  26. Wolfgang Aussenegg & Lukas Goetz & Ranko Jelic, 2015. "Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis," European Financial Management, European Financial Management Association, vol. 21(2), pages 265-308, March.
  27. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  28. Belén Nieto & Alfonso Novales & Gonzalo Rubio, 2015. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-41, December.
  29. Nielsen, Youngju & Pungaliya, Raunaq S., 2017. "Idiosyncratic returns and relative value in the US Treasury market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 125-144.
  30. Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016. "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, vol. 22(2), pages 193-234, March.
  31. Lin, Xiaoji & Zhang, Lu, 2011. "Covariances versus Characteristics in General Equilibrium," Working Paper Series 2011-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  32. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
  33. Söhnke M. Bartram & Mark Grinblatt & Yoshio Nozawa, 2020. "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," NBER Working Papers 27655, National Bureau of Economic Research, Inc.
  34. Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016. "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, vol. 27(C), pages 102-131.
  35. Jiang, Hao & Li, Yi & Sun, Zheng & Wang, Ashley, 2022. "Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 143(1), pages 277-302.
  36. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
  37. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  38. Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016. "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 307-337.
  39. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
  40. Michael Sigmund & Kevin Zimmermann, 2021. "Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)," Working Papers 236, Oesterreichische Nationalbank (Austrian Central Bank).
  41. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2012. "Fund manager allocation," CFR Working Papers 10-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
  42. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2019. "Common risk factors in the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 131(3), pages 619-642.
  43. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
  44. Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
  45. Sermin Gungor & Jesus Sierra, 2014. "Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy," Staff Working Papers 14-3, Bank of Canada.
  46. Lee, Kiryoung & Jeon, Yoontae & Nam, Eun-Young, 2021. "Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1063-1077.
  47. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  48. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
  49. Duyvesteyn, Johan & Martens, Martin & Verwijmeren, Patrick, 2016. "Political risk and expected government bond returns," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 498-512.
  50. Joost Bats & Giovanna Bua & Daniel Kapp, 2023. "Physical and transition risk premiums in euro area corporate bond markets," Working Papers 761, DNB.
  51. Bats, Joost Victor & Bua, Giovanna & Kapp, Daniel, 2024. "Physical and transition risk premiums in euro area corporate bond markets," Working Paper Series 2899, European Central Bank.
  52. Lauren Stagnol, 2016. "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," Working Papers hal-04141582, HAL.
  53. Yin-Ching Jan & Su-Ling Chiu, 2010. "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 79-91.
  54. Pascal François & Stephanie Heck & Georges Hübner & Thomas Lejeune, 2022. "Comoment risk in corporate bond yields and returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 471-512, September.
  55. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
  56. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  57. Robert J. Bianchi & Michael E. Drew & Eduardo Roca & Timothy Whittaker, 2017. "Risk factors in Australian bond returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 373-400, June.
  58. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011. "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, vol. 99(3), pages 628-650, March.
  59. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  60. Cici, Gjergji & Gibson, Scott, 2010. "The performance of corporate-bond mutual funds: Evidence based on security-level holdings," CFR Working Papers 10-18, University of Cologne, Centre for Financial Research (CFR).
  61. Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
  62. Ali Nejadmalayeri & Subramanian Rama Iyer & Manohar Singh, 2017. "Is there an optimally diversified conglomerate? Gleaning answers from capital markets," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 117-158, July.
  63. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  64. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
  65. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
  66. Choi, Jaewon & Kim, Yongjun, 2018. "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 16-34.
  67. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
  68. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2991-3006.
  69. Haddad, Hedi Ben & Mezghani, Imed & Al Dohaiman, Mohammed, 2020. "Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors," Economic Systems, Elsevier, vol. 44(2).
  70. Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2022. "How do corporate bond investors measure performance? Evidence from mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 142(C).
  71. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
  72. Fei Leng & Gregory Noronha, 2019. "Relative value in corporate bond sectors," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 717-735, April.
  73. Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem, 2013. "Mutual fund performance in Tunisia: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 29(C), pages 35-51.
  74. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
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