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Factor decomposition and diversification in European corporate bond markets

Listed author(s):
  • Pieterse-Bloem, Mary
  • Mahieu, Ronald J.

In this paper we present an analysis of diversification strategies on portfolios of European corporate bonds. From the perspective of a US-based investor we study whether mean–variance diversification strategies change as a result of the introduction of the European Economic and Monetary Union (EMU). Using a comprehensive and unique data set of European corporate bonds we show that country factors are more important than industry factors to describe the cross-section of European corporate bonds. In particular we find that in the Post-EMU period country factors remain important.

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File URL: http://www.sciencedirect.com/science/article/pii/S0261560612000824
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 32 (2013)
Issue (Month): C ()
Pages: 194-213

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Handle: RePEc:eee:jimfin:v:32:y:2013:i:c:p:194-213
DOI: 10.1016/j.jimonfin.2012.04.005
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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