The Cross-section of Expected Corporate Bond Returns

Betas or Characteristics?

William R. Gebhardt, Søren Hvidkjær, Bhaskaran Swaminathan

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

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.
OriginalsprogEngelsk
TidsskriftJournal of Financial Economics
Vol/bind75
Udgave nummer1
Sider (fra-til)85-114
Antal sider30
ISSN0304-405X
DOI
StatusUdgivet - 2005
Udgivet eksterntJa

Emneord

  • Asset pricing
  • Betas
  • Characteristics
  • Corporate bond returns
  • Yields

Citer dette

Gebhardt, William R. ; Hvidkjær, Søren ; Swaminathan, Bhaskaran. / The Cross-section of Expected Corporate Bond Returns : Betas or Characteristics?. I: Journal of Financial Economics. 2005 ; Bind 75, Nr. 1. s. 85-114.
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The Cross-section of Expected Corporate Bond Returns : Betas or Characteristics? / Gebhardt, William R.; Hvidkjær, Søren; Swaminathan, Bhaskaran.

I: Journal of Financial Economics, Bind 75, Nr. 1, 2005, s. 85-114.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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