True Value Investing in the Corporate Bond Market
研究了公司债券市场中价值投资策略的收益来源，发现现有价值因子不仅来自错误定价，还来自承担更多风险。通过机器学习构建的新价值因子更接近“真正”的价值投资，且扣除成本后收益最高。
Value investing in the corporate bond market aims to identify mispricings by determining to what extent a bond’s credit spread compensates for its risk. By decomposing returns into a risk-taking and a repricing component, we show that existing value factors earn not only from capturing mispricings but also substantially from taking more risk. To better control for risk, we construct a value factor based on an ensemble of machine learning methods. We find that it earns less from risk-taking and more from repricing and is thus closer to a “true” value factor. It also delivers the highest returns after costs.