Which Factors for Corporate Bond Returns?

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-02-23 DOI:10.1093/rapstu/raad005

Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk

引用次数: 0

Abstract

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. (JEL G12, C11, C52)

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哪些因素影响公司债券的回报?

与利差、期限、股权动量和期限结构相关的因素是公司债券市场中最重要的风险因素。从大量的候选因素中，我们用两步法浓缩了一个最优模型。首先，我们过滤掉那些不会系统性影响债券价格的因素。其次，我们使用贝叶斯模型选择方法来确定最优的、简约的模型。许多突出的因素不会影响价格，或者是多余的。我们通过时间序列和横断面测试证明了新模型与现有模型的良好性能，并分析了这些因素的经济驱动因素。(凝胶g12, c11, c52)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.