Transaction Costs and Capacity of Systematic Corporate Bond Strategies
研究了系统性公司债券投资在扣除交易成本后能否产生有吸引力的回报，发现交易成本随交易规模增加，高周转策略容量有限，而低周转信用风险策略容量更高。
Can systematic corporate bond investments generate attractive returns net of costs? To answer this question, we apply the principle of market microstructure invariance and obtain bond transaction costs increasing in trade size. As the size of the bond fund increases, the market impact reduces net returns to zero. High-turnover strategies hit capacity constraints fast. Low-turnover credit risk–focused strategies have much higher capacities that can be further increased by constraining portfolio rebalancing in realistic ways. Transaction costs do not absorb the corporate bond risk premium even in the largest possible market portfolios.