Common risk factors in the cross-section of corporate bond returns

We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds-downside risk, credit risk, and liquidity risk...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial economics 2019-03, Vol.131 (3), p.619
Hauptverfasser:	Bai, Jennie, Bali, Turan G, Wen, Quan
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond markets Bond ratings Corporate bonds Corporate finance Credit risk Liquidity Maturity Portfolios Premiums Risk assessment Risk factors
Online-Zugang:	Volltext
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