U.S. corporate bond returns: A study of market anomalies based on broad industry groups

2008 ◽  
Vol 17 (3) ◽  
pp. 157-171 ◽  
Author(s):  
Srinivas Nippani ◽  
Augustine C. Arize
Keyword(s):  
Corporate Bond ◽  
Market Anomalies ◽  
Bond Returns

scholarly journals Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

2017 ◽  
Vol 52 (4) ◽  
pp. 1301-1342 ◽  
Author(s):  
Tarun Chordia ◽  
Amit Goyal ◽  
Yoshio Nozawa ◽  
Avanidhar Subrahmanyam ◽  
Qing Tong
Keyword(s):  
Equity Returns ◽  
Corporate Bond ◽  
Idiosyncratic Volatility ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Unexpected Earnings ◽  
Bond Returns ◽  
Bond Return ◽  
Asset Growth ◽  
Sharpe Ratios

Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds. Cross-sectional bond return predictors generally do not provide materially high Sharpe ratios after accounting for trading costs.

Short Selling and Corporate Bond Returns

2013 ◽  
Author(s):  
Stephen E. Christophe ◽  
Michael G. Ferri ◽  
Jim Hsieh ◽  
Tao-Hsien Dolly King
Keyword(s):  
Short Selling ◽  
Corporate Bond ◽  
Bond Returns

Modeling Corporate Bond Returns

2020 ◽  
Author(s):  
Bryan T. Kelly ◽  
Diogo Palhares ◽  
Seth Pruitt
Keyword(s):  
Corporate Bond ◽  
Bond Returns

Volatility and the cross-section of corporate bond returns

2019 ◽  
Vol 133 (2) ◽  
pp. 397-417 ◽  
Author(s):  
Kee H. Chung ◽  
Junbo Wang ◽  
Chunchi Wu
Keyword(s):  
Cross Section ◽  
Corporate Bond ◽  
Bond Returns ◽  
The Cross
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