The Cross-Section of Corporate Bond Returns: The Pre-World War I Evidence
利用1868年至1914年布鲁塞尔证券交易所的手工收集数据，检验公司债券收益率的横截面特征，发现动量效应显著而长期反转效应微弱，且下行风险、信用质量、流动性等与收益无可靠关系。
What explains the cross-sectional variation in corporate bond returns? This article uses novel hand-collected data from the Brussels Stock Exchange from January 1868 through July 1914 to examine the cross-section of corporate bond returns out-of-sample. Results over this pre-OTC era generally differ from modern OTC bond market results. Momentum carries significant premia. There is evidence of a weak long-term reversal effect. In contrast, there is no reliable relation between downside risk, credit quality, illiquidity, or book-to-market, and returns. Overall, the out-of-sample evidence reveals a perspective consistent to the argument of a credibility crisis in corporate bond return anomalies.