Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/162824 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
CFR Working Paper No. 17-03
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
We evaluate how different betas and characteristics related to default, term, and liquidity risk fare against one another in explaining the cross-section of corporate bond returns. We find that characteristics-credit rating, duration, and Amihud illiquidity measure-fare better. Yields add incremental explanatory power. Consistent with yields providing a timelier assessment of default risk than ratings, bonds with higher yields but similar credit ratings, durations and Amihud measures experience more subsequent ratings downgrades, fewer upgrades, and a higher frequency of defaults. Based on our findings, we present characteristic portfolios that can be used to benchmark individual bond and portfolio returns.
Dokumentart: 
Working Paper

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