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The Cross-Section of Corporate Bond Returns: The Pre-World War I Evidence

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  • Kevin Van Mencxel

Abstract

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.

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  • Kevin Van Mencxel, 2025. "The Cross-Section of Corporate Bond Returns: The Pre-World War I Evidence," Financial Analysts Journal, Taylor & Francis Journals, vol. 81(3), pages 76-99, July.
    • Handle: RePEc:taf:ufajxx:v:81:y:2025:i:3:p:76-99
    DOI: 10.1080/0015198X.2025.2485680
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