Modeling Corporate Bond Returns
提出了一个包含五个因子和时变载荷的条件因子模型，用于描述公司债券的风险和收益。该模型优于以往模型，推荐的投资组合具有较高的样本外夏普比率，表明信用风险溢价比先前估计的更大，并发现债务与权益市场之间的一体化程度更高。
ABSTRACT We propose a conditional factor model for corporate bond returns with five factors and time‐varying factor loadings. We have three main empirical findings. First, our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin. Second, our model recommends a systematic bond investment portfolio whose high out‐of‐sample Sharpe ratio suggests that the credit risk premium is notably larger than previously estimated. Third, we find closer integration between debt and equity markets than found in prior literature.