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Autoren: 
Bethke, Sebastian
Gehde-Trapp, Monika
Kempf, Alexander
Datum: 
2015
Reihe/Nr.: 
CFR Working Paper 13-06 [rev.3]
Zusammenfassung: 
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low investor sentiment leads to flightto- quality behavior and, ultimately, high bond correlation.
Schlagwörter: 
bond correlation
risk factor correlation
flight-to-quality
investor sentiment
JEL: 
G11
G12
Dokumentart: 
Working Paper
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