Accessibility navigation

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

[img] Text - Accepted Version
· Restricted to Repository staff only until 23 February 2025.
· The Copyright of this document has not been checked yet. This may affect its availability.


It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1093/rapstu/raad005


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
Divisions:Henley Business School > ICMA Centre
ID Code:109803
Publisher:Society for Financial Studies

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation