Arbeitspapier
Explaining and benchmarking corporate bond returns
We evaluate how different betas and characteristics related to default, term, and liquidity risk fare against one another in explaining the cross-section of corporate bond returns. We find that characteristics-credit rating, duration, and Amihud illiquidity measure-fare better. Yields add incremental explanatory power. Consistent with yields providing a timelier assessment of default risk than ratings, bonds with higher yields but similar credit ratings, durations and Amihud measures experience more subsequent ratings downgrades, fewer upgrades, and a higher frequency of defaults. Based on our findings, we present characteristic portfolios that can be used to benchmark individual bond and portfolio returns.
- Language
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Englisch
- Bibliographic citation
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Series: CFR Working Paper ; No. 17-03
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Cici, Gjergji
Gibson, Scott
Moussawi, Rabih
- Event
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Veröffentlichung
- (who)
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University of Cologne, Centre for Financial Research (CFR)
- (where)
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Cologne
- (when)
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2017
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cici, Gjergji
- Gibson, Scott
- Moussawi, Rabih
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2017
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