Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/229066 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
ECB Working Paper No. 2452
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Corporate bond markets
CAPM
international market integration
asset class integration
bond ratings
risk
return
JEL: 
G10
G11
G15
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-4369-7
Dokumentart: 
Working Paper

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