Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis
研究了23个欧元计价公司债券指数的月度超额收益，提出分离期限和违约风险的水平和斜率成分，并考察流动性风险，发现新因子显著提升Fama-French两因子模型的解释力，且危机前后风险因子敏感性不同。
Abstract We examine monthly excess returns for 23 Euro‐denominated corporate bond indices and propose a new specification for bond asset pricing models. Specifically, we separate level and slope components of term and default risk factors and examine liquidity risk. Our results suggest that level and slope risk factors, derived from complete interest rate and default spread term structures, significantly improve the explanatory power of the Fama and French (1993) 2‐factor model. We also demonstrate different sensitivities of risk factors before and after recent financial crisis. The results are robust to calendar seasonality and the consideration of equity market returns .