Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns
研究发现公司债券的账面市值比能预测交易价格计算的收益，高账面市值比债券年化收益高出3%-4%，且该现象无法被流动性、违约风险等解释，暗示债券市场存在错误定价。
Abstract Corporate bonds’ book-to-market ratios predict returns computed from transaction prices. Senior bonds (even investment grade) with the 20% highest ratios outperform the 20% lowest by 3%–4% annually after non-parametrically controlling for numerous liquidity, default, microstructure, and priced-risk attributes: yield-to-maturity, bid–ask spread, duration/maturity, credit spread/rating, past returns, coupon, size, age, industry, and structural model equity hedges. Spreads for all-bond samples are larger. An efficient bond market would not exhibit the observed decay in the ratio’s predictive efficacy with implementation delays, small yield-to-maturity spreads, or similar-sized spreads across bonds with differing risks. A methodological innovation avoids liquidity filters and censorship that bias returns.