Arbeitspapier
Risk and return in international corporate bond markets
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor model perspective, local factors contribute substantially more to the variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply.
- ISBN
-
978-92-899-4369-7
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2452
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
International Financial Markets
- Thema
-
Corporate bond markets
CAPM
international market integration
asset class integration
bond ratings
risk
return
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bekaert, Geert
De Santis, Roberto A.
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2020
- DOI
-
doi:10.2866/936363
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bekaert, Geert
- De Santis, Roberto A.
- European Central Bank (ECB)
Entstanden
- 2020
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