Long-term reversals in the corporate bond market

• 成果类型: Article
• 署名作者: Bali, Turan G.; Subrahmanyam, Avanidhar; Wen, Quan
• 署名单位: Georgetown University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.08.007
• 发表日期: 2021
• 页码: 656-677
• 关键词: Corporate bonds; Long-term reversal

摘要

Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term reversal is not a manifestation of the equity counterpart and is mainly driven by long-term losers. A long-term reversal factor carries a sizable premium and is not explained by long-established equity and bond market factors. Thus, past returns capture investors' ex-ante risk assessment and the degree of institutional constraints they face, so losing bonds command higher expected returns. (C) 2020 Elsevier B.V. All rights reserved.