---
title: Cross-Sectional Corporate Bond Returns
url: https://www.ml-quant.com/papers/ssrn/7566162/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-09
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7566162
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7566162
featured: 2026-10-09
citations: unknown
topic: Asset Pricing & Factors
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7566162
- Identifier: SSRN 7566162
- Released: 2026-10-05
- First featured: Quant Letter No. 134 (2026-10-09): https://www.ml-quant.com/issues/2026-10-09/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Yongfu Feng, Hong Liu, Shuxin Zheng

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