Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229066
Authors: 
Bekaert, Geert
De Santis, Roberto A.
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2452
Abstract: 
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor model perspective, local factors contribute substantially more to the variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply.
Subjects: 
Corporate bond markets
CAPM
international market integration
asset class integration
bond ratings
risk
return
JEL: 
G10
G11
G15
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4369-7
Document Type: 
Working Paper

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