The Cross-Section and Time Series of Corporate Bond Returns
3 Pages Posted: 17 Aug 2010
Date Written: August 15, 2010
Abstract
What are the cross-sectional and time-series characteristics of corporate bond returns? Do corporate bond risk premia vary over time and are these time-variations predictable? And if yes, is it a sign of market inefficiency? Recent empirical studies show a strong mean reversion at the monthly level. This research project first strives to establish systematically the cross-sectional and time series behavior at various frequencies and time lags. We will further analyze how the autoregressive components relate to bond-specific and aggregate explanatory variables, such as changing growth opportunities, or liquidity measures.
Keywords: Corporate bond pricing, asset pricing
Suggested Citation: Suggested Citation
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