Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/316655 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 25 [Issue:] 5 [Publisher:] Palgrave Macmillan [Place:] London [Year:] 2024 [Pages:] 479-492
Verlag: 
Palgrave Macmillan, London
Zusammenfassung: 
We examine the covariances of corporate bonds in emerging markets (EM) and present an asset pricing framework using instrumented principal component analysis (IPCA) that includes characteristics at the sovereign and bond levels. Our results indicate that EM bond returns are significantly influenced by country-specific risks. Incorporating these characteristics can improve both the total and cross-sectional model fit. We demonstrate that a factor framework tailored to the nuances of the EM universe generates a significant alpha of 2% per annum against the market and a higher information ratio than alternative asset pricing models, such as a conditional beta model designed for developed market (DM) bonds.
Schlagwörter: 
Corporate bonds
Factor investing
Emerging markets
Country risk
JEL: 
G12
G17
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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