The cross-section of expected corporate bond returns: Betas or characteristics?

• 成果类型: Article
• 署名作者: Gebhardt, WR; Hvidkjaer, S; Swaminathan, B
• 署名单位: Cornell University; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.04.002
• 发表日期: 2005
• 页码: 85-114
• 关键词: corporate bond returns; asset pricing; BETAS; Characteristics; yields

摘要

This paper finds that default betas are significantly related to the cross-section of average bond returns even after controlling for characteristics such as duration, ratings, and yield-to-maturity. Among characteristics, only yield-to-maturity is significantly related to average bond returns after controlling for default and term betas. The default and term factors are able to price the returns of beta-sorted portfolios better than they do the returns of yield-sorted portfolios. The magnitude of the ex ante Sharpe ratio generated by yield-sorted portfolios suggests non-risk-based explanations. Overall, given the elusive nature of systematic risk in empirical asset pricing, the central finding of our paper is that systematic risk matters for corporate bonds. (C) 2004 Elsevier B.V. All rights reserved.