Details
| Original language | English |
|---|---|
| Pages (from-to) | 615-652 |
| Number of pages | 38 |
| Journal | Review of Asset Pricing Studies |
| Volume | 13 |
| Issue number | 4 |
| Publication status | Published - 23 Feb 2023 |
Abstract
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.
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In: Review of Asset Pricing Studies, Vol. 13, No. 4, 23.02.2023, p. 615-652.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Which Factors for Corporate Bond Returns?
AU - Dang, Thuy Duong
AU - Hollstein, Fabian
AU - Prokopczuk, Marcel
PY - 2023/2/23
Y1 - 2023/2/23
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85178373672&partnerID=8YFLogxK
U2 - 10.2139/ssrn.4012601
DO - 10.2139/ssrn.4012601
M3 - Article
VL - 13
SP - 615
EP - 652
JO - Review of Asset Pricing Studies
JF - Review of Asset Pricing Studies
SN - 2045-9920
IS - 4
ER -