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
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 2452
- Classification
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
International Financial Markets
- Subject
-
Corporate bond markets
CAPM
international market integration
asset class integration
bond ratings
risk
return
- Event
-
Geistige Schöpfung
- (who)
-
Bekaert, Geert
De Santis, Roberto A.
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2020
- DOI
-
doi:10.2866/936363
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the 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
- Bekaert, Geert
- De Santis, Roberto A.
- European Central Bank (ECB)
Time of origin
- 2020
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