Cross-Sectional Corporate Bond Returns
Constructs a characteristics-based systematic risk measure using rate jumps that predicts out-of-sample corporate bond returns, with high-minus-low decile portfolio earning 9.12% annually and 7.80% alpha.
Featured in No. 134 on 9 Oct 2026 · 4 days after release
- Released
- 5 Oct 2026
- First featured
- No. 134 · 9 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7566162
- Authors
- Yongfu Feng et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).