Equity-Inspired Credit Risk Factors Complement Traditional Ones
研究了使用受股票启发的信用风险因素（如套利、价值、动量、波动性和流动性风险）来解释公司债券市场风险，发现这些因素能显著提升系统性风险的衡量能力，约占模型表现的一半。
We measure the benefits of using equity-inspired credit risk factors to explain risk in corporate bond markets. In addition to traditional credit factors—sector, rating, and duration—we show that the inclusion of carry, value, momentum, volatility, and liquidity risk factors, all constructed using only credit market data, significantly enhances our ability to measure systematic risk in corporate bond returns. Equity-inspired credit risk factors complement traditional ones: they account for about 50% of model performance. Our results are similar across investment-grade and high-yield markets and across US and European bond markets.