The Cross-Section and Time Series of Corporate Bond Returns

3 Pages Posted: 17 Aug 2010

See all articles by Arne Westerkamp

Arne Westerkamp

Vienna University of Economics and Business - Department of Accounting and Finance

Josef Zechner

Vienna University of Economics and Business

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

Westerkamp, Arne and Zechner, Josef, The Cross-Section and Time Series of Corporate Bond Returns (August 15, 2010). Available at SSRN: https://ssrn.com/abstract=1659343 or http://dx.doi.org/10.2139/ssrn.1659343

Arne Westerkamp

Vienna University of Economics and Business - Department of Accounting and Finance ( email )

Nordbergstraße 15, Bauteil B, 6. Stock
Wien 1090
Austria

Josef Zechner (Contact Author)

Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, Wien A-1019
Austria

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