Priced risk in corporate bonds *

• 成果类型: Article
• 署名作者: Dickerson, Alexander; Mueller, Philippe; Robotti, Cesare
• 署名单位: University of Warwick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103707
• 发表日期: 2023
• 关键词: Corporate bond pricing; Bond CAPM; Sharpe ratio; Efficient frontier; Model misspecification and identification

摘要

Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing in corporate bonds is exceedingly difficult to establish. Based on portfolio- and bond-level analyses, we demonstrate that previously proposed bond risk factors, with traded liquidity as the only marginal exception, do not have any incremental explanatory power over the corporate bond market factor. Consequently, this implies that the bond CAPM is not dominated by either traded- or nontraded-factor models in pairwise and multiple model comparison tests.(c) 2023 Elsevier B.V. All rights reserved.