The Cross-Section of Expected Returns in the Secondary Corporate Loan Market
研究了二级企业贷款市场中特征和贝塔对预期收益率的影响，发现违约贝塔包含评级和利差之外的信息，且3个月动量策略月收益达122个基点。
Corporate loans increasingly have become an important part of portfolio management with the advent of a liquid and transparent secondary market. This paper examines the pricing of characteristics and betas in the cross-section of expected loan returns. Expected loan returns decrease with default beta. Default beta contains information not captured by rating or spread-to-maturity. Among loan characteristics, a 3-month formation momentum strategy earns a monthly premium of 122 bps. Momentum is prominent in loans issued by the lowest-rated borrowers.