The co-pricing factor zoo

• 成果类型: Article
• 署名作者: Dickerson, Alexander; Julliard, Christian; Mueller, Philippe
• 署名单位: University of New South Wales Sydney; University of London; London School Economics & Political Science; University of Warwick; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104295
• 发表日期: 2026-08
• 页码: 104295
• 关键词: Bond-stock co-pricing; Corporate bonds; factor zoo; factor models; Bayesian methods; macro-finance; asset pricing; corporate bond returns; COMMON RISK-FACTORS; cross-section; asset prices; presidential-address; liquidity risk; time-series; MARKET; STOCK; MODEL

摘要

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors alone suffice to explain corporate bond risk premia once their Treasury term structure risk is accounted for, rendering the extensive bond factor literature largely redundant for this purpose. While only a handful of factors, behavioral and nontradable, are likely robust sources of priced risk, the true latent stochastic discount factor is dense in the space of observable factors. Consequently, a Bayesian Model Averaging Stochastic Discount Factor explains risk premia better than all low-dimensional models, in-and out-of-sample, by optimally aggregating dozens of factors that serve as noisy proxies for common underlying risks, yielding an out-of-sample Sharpe ratio of 1.5 to 1.8. This SDF, as well as its conditional mean and volatility, are persistent, track the business cycle and times of heightened economic uncertainty, and predict future asset returns.