Which Factors for Corporate Bond Returns?
从大量候选因子中筛选出对公司债券回报最重要的风险因子，通过两步法构建最优简约模型，发现许多知名因子不驱动价格或冗余，新模型在时间和截面测试中表现良好。
Abstract Factors related to carry, duration, equity momentum, and the term structure are the most important risk factors in corporate bond markets. From a large set of factor candidates, we condense an optimal model with a two-step approach. First, we filter out factors that do not systematically move bond prices. Second, we use a Bayesian model selection approach to determine the optimal, parsimonious model. Many prominent factors do not move prices or are redundant. We document the new model’s good performance compared to that of existing models in time-series and cross-sectional tests and analyze the economic drivers of the factors.