Abstract
| Original language | English |
|---|---|
| Journal | Journal of Financial Economics |
| Volume | 75 |
| Issue number | 1 |
| Pages (from-to) | 85-114 |
| Number of pages | 30 |
| ISSN | 0304-405X |
| DOIs | |
| Publication status | Published - 2005 |
| Externally published | Yes |
Keywords
- Asset pricing
- Betas
- Characteristics
- Corporate bond returns
- Yields
Cite this
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The Cross-section of Expected Corporate Bond Returns : Betas or Characteristics? / Gebhardt, William R.; Hvidkjær, Søren; Swaminathan, Bhaskaran.
In: Journal of Financial Economics, Vol. 75, No. 1, 2005, p. 85-114.Research output: Contribution to journal › Journal article › Research › peer-review
TY - JOUR
T1 - The Cross-section of Expected Corporate Bond Returns
T2 - Betas or Characteristics?
AU - Gebhardt, William R.
AU - Hvidkjær, Søren
AU - Swaminathan, Bhaskaran
PY - 2005
Y1 - 2005
N2 - 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.
AB - 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.
KW - Asset pricing
KW - Betas
KW - Characteristics
KW - Corporate bond returns
KW - Yields
KW - Asset pricing
KW - Betas
KW - Characteristics
KW - Corporate bond returns
KW - Yields
U2 - 10.1016/j.jfineco.2004.04.002
DO - 10.1016/j.jfineco.2004.04.002
M3 - Journal article
VL - 75
SP - 85
EP - 114
JO - Journal of Financial Economics
JF - Journal of Financial Economics
SN - 0304-405X
IS - 1
ER -