Comoment risk in corporate bond yields and returns
利用行业指数对公司债券回报进行协矩因子分析，发现高阶协矩对系统性违约风险溢价有正向贡献，而协方差和协峰度因引发价值损失而降低净超额回报，其中正协偏度效应在低收益率时更显著，支持了“追逐收益”现象。
Abstract In this article, we provide a comoment factor analysis of corporate bond returns using sector indices. We split returns into systematic default risk premiums rewarding for default risk exposure, and net excess returns adjusting for market conditions. Higher comoments contribute positively to systematic default risk premiums, whereas covariance and cokurtosis lower net excess returns as they trigger value losses. The positive coskewness effect, more pronounced during low yields, corroborates the “reach‐for‐yield” phenomenon. The gradual substitution between covariation and tail risk contributions to the systematic default risk premium for higher maturities suggests a shift from the pricing of downgrading to outright default risk.