Common Risk Factors in the Cross-Section of Corporate Bond Returns.
Event details
| Date | 26.05.2016 |
| Hour | 12:00 › 13:00 |
| Speaker | Prof. Jennie BAI (Georgetown University) |
| Location | |
| Category | Conferences - Seminars |
This study constructs risk factors that are important for the pricing of corporate bond. We find that expected corporate bond returns are related cross-sectionally to downside risk, credit risk, liquidity risk, and bond market risk. Based on these risk proxies, we construct three bond-implied risk factors: DRF, CRF, and LRF, in the spirit of Fama and French (1992). Our new factors rely on the unique features of corporate bonds which distinguish from stocks, hence have superior performance in explaining the cross-section of expected bond returns, than all established stock and bond market factor models.
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