Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 19, 2022 erstellt
Description:
We comprehensively analyze the most prominent factors proposed in the corporate bond literature. Using a Bayesian model selection approach, we simultaneously compare all 1,024 different possible subsets of these factors. A model including the bond market, term risk, credit risk, short-term reversal, and volatility risk jointly explains the cross-section of corporate bond returns best. Default risk, downside risk, liquidity risk, and momentum, among others, appear to be redundant factors. The bond market and credit risk contribute the most to explaining cross-sectional and time-series variation in test asset returns, while short-term reversal behaves more like a friction than a systematic factor