کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475981 | 929460 | 2005 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The cross-section of expected corporate bond returns: Betas or characteristics?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 75, Issue 1, January 2005, Pages 85-114
Journal: Journal of Financial Economics - Volume 75, Issue 1, January 2005, Pages 85-114
نویسندگان
William R. Gebhardt, Soeren Hvidkjaer, Bhaskaran Swaminathan,