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SUMMARY:Common Risk Factors in the Cross-Section of Corporate Bond Returns
 .
DTSTART:20160526T120000
DTEND:20160526T130000
DTSTAMP:20260916T052749Z
UID:08b65f2d2d08632f308db879a4eae34d0544dce55e76f9665cf43a1a
CATEGORIES:Conferences - Seminars
DESCRIPTION:Prof. Jennie BAI (Georgetown University)\nThis study construct
 s risk factors that are important for the pricing of corporate bond. We fi
 nd that expected corporate bond returns are related cross-sectionally to d
 ownside 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 sto
 cks\,  hence have superior performance in explaining the cross-section of
  expected bond returns\, than all established stock and bond market factor
  models.
LOCATION:UNIL\, Extranef\, room 110 https://planete.unil.ch/plan/?local=EX
 T-110
STATUS:CONFIRMED
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