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Common risk factors in the cross-section of corporate bond returns

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Cited by:

  1. Isakin, Maksim & Pu, Xiaoling, 2023. "Dispersion in news sentiment and corporate bond returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
  2. Jelic, Ranko & Zeng, Yiming & Karouzakis, Nikolaos, 2023. "Foreign-law premium for European high-yield corporate bonds," Finance Research Letters, Elsevier, vol. 52(C).
  3. Jun Kyung Auh & Jennie Bai, 2020. "Cross-Asset Information Synergy in Mutual Fund Families," NBER Working Papers 26626, National Bureau of Economic Research, Inc.
  4. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
  5. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  6. Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2022. "The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds [The prediction of corporate bankruptcy: a discriminant analysis]," Review of Finance, European Finance Association, vol. 26(2), pages 355-405.
  7. Gopinath, Gita & Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2025. "Sovereign vs. corporate debt and default: More similar than you think," Journal of International Economics, Elsevier, vol. 155(C).
  8. Mishra, Abinash & Srivastava, Pranjal & Chakrabarti, Anindya S., 2020. "'Too central to fail' firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets," IIMA Working Papers WP 2020-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  9. Redouane Elkamhi & Chanik Jo & Yoshio Nozawa, 2024. "A One-Factor Model of Corporate Bond Premia," Management Science, INFORMS, vol. 70(3), pages 1875-1900, March.
  10. Bali, Turan G. & Subrahmanyam, Avanidhar & Wen, Quan, 2021. "Long-term reversals in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 139(2), pages 656-677.
  11. Bradley S. Blaylock & Jimmy F. Downes & Mollie E. Mathis & Scott D. White, 2022. "Do bondholders incorporate expected repatriation taxes into their pricing of debt?," Review of Accounting Studies, Springer, vol. 27(4), pages 1457-1492, December.
  12. Balbás, Alejandro & Serna, Gregorio, 2024. "Selling options to beat the market: Further empirical evidence," Research in International Business and Finance, Elsevier, vol. 67(PB).
  13. Moran Wang & Yuying Sun & Shouyang Wang, 2026. "Can Chinese firms benefit from issuing carbon–neutral bonds?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-28, December.
  14. Bi, Jia & Zhu, Yifeng, 2020. "Value at risk, cross-sectional returns and the role of investor sentiment," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 1-18.
  15. Huang, Tao & Jiang, Liang & Li, Junye, 2023. "Downside variance premium, firm fundamentals, and expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 154(C).
  16. Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He, 2023. "Which Factors for Corporate Bond Returns?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 615-652.
  17. Lee, Kiryoung, 2022. "Which uncertainty measures matter for the cross-section of corporate bond returns? Evidence from the U.S. during 1973–2020," Finance Research Letters, Elsevier, vol. 48(C).
  18. Qin, Yiyi & Cai, Jun & Wang, James J.D. & Webb, Robert I., 2023. "Gold-mining stocks, risk factors, and tail patterns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  19. Alex Holcomb & Paul Mason, 2021. "The Effect of Industry Restructuring on Peer Firms," JRFM, MDPI, vol. 14(5), pages 1-25, May.
  20. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
  21. Thanh D. Huynh & Ying Xia, 2023. "Panic Selling When Disaster Strikes: Evidence in the Bond and Stock Markets," Management Science, INFORMS, vol. 69(12), pages 7448-7467, December.
  22. Liu, Yukun & Wu, Xi, 2023. "How does shareholder governance affect the cost of borrowing? Evidence from the passage of anti-takeover provisions," Journal of Accounting and Economics, Elsevier, vol. 75(2).
  23. Sarwar, Ghulam, 2023. "Market risks that change US-European equity correlations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  24. Liu, Yuekun & Riley, Timothy B., 2025. "How should we measure the performance of corporate bond mutual funds? Evaluating model quality and impact on inferences," Journal of Banking & Finance, Elsevier, vol. 173(C).
  25. A.K. SUSILO & Dyah Wulan SARI & I Nengah PUTRA & N.A. PRATIWI, 2022. "Economic Growth And Military Expenditure In Developing Countries During Covid-19 Pandemic," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 22(1), pages 19-38.
  26. Qianwen Chen & Jaewon Choi, 2024. "Reaching for Yield and the Cross Section of Bond Returns," Management Science, INFORMS, vol. 70(8), pages 5226-5245, August.
  27. Li, Zhiyong & Wang, Haixu & Yu, Mei, 2023. "Beyond rocket science: A factor model for convertible bond returns," Economics Letters, Elsevier, vol. 233(C).
  28. Liu, Zhenqing & Luo, Yi & Duan, Mohan, 2025. "Macroeconomic factors, industrial enterprises, and debt default prediction: Based on the VAR-GRU model," Finance Research Letters, Elsevier, vol. 78(C).
  29. Fricke, Daniel, 2021. "Synthetic Leverage and Fund Risk-Taking," ESRB Working Paper Series 126, European Systemic Risk Board.
  30. Zhang, Heming & Wang, Guanying, 2021. "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  31. Lee H. Seltzer & Laura Starks & Qifei Zhu, 2022. "Climate Regulatory Risk and Corporate Bonds," NBER Working Papers 29994, National Bureau of Economic Research, Inc.
  32. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
  33. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
  34. Dobrynskaya, Victoria, 2024. "Is downside risk priced in cryptocurrency market?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  35. Zhiguo He & Paymon Khorrami & Zhaogang Song, 2022. "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4630-4673.
  36. Vladimirova, Desislava, 2025. "In the shadow of country risk: asset pricing model of emerging market corporate bonds," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 156139, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  37. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  38. Gui, Pingshu & Zhu, Yifeng, 2021. "Value at risk and the cross-section of expected returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
  39. Mohammadreza Tavakoli Baghdadabad, 2025. "Accrual Quality, Cost of Debt, and Credit Spread and Loss," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(3), pages 893-951, September.
  40. Travis Cable & Amir Mani & Wei Qi & Georgios Sotiropoulos & Yiyuan Xiong, 2025. "On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution," Papers 2504.06289, arXiv.org.
  41. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
  42. Desislava Vladimirova, 2024. "In the shadow of country risk: asset pricing model of emerging market corporate bonds," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 479-492, September.
  43. Kuong, John Chi-Fong & O’Donovan, James & Zhang, Jinyuan, 2024. "Monetary policy and fragility in corporate bond mutual funds," Journal of Financial Economics, Elsevier, vol. 161(C).
  44. Dora Xia & Omar Zulaica, 2022. "The term structure of carbon premia," BIS Working Papers 1045, Bank for International Settlements.
  45. Chen, Wen, 2021. "Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses," Journal of Financial Markets, Elsevier, vol. 55(C).
  46. Galvani, Valentina & Li, Lifang, 2023. "Outliers and momentum in the corporate bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 135-148.
  47. Dickerson, Alexander & Mueller, Philippe & Robotti, Cesare, 2023. "Priced risk in corporate bonds," Journal of Financial Economics, Elsevier, vol. 150(2).
  48. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
  49. Söhnke M. Bartram & Mark Grinblatt & Yoshio Nozawa, 2020. "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," NBER Working Papers 27655, National Bureau of Economic Research, Inc.
  50. Jiang, Hao & Li, Yi & Sun, Zheng & Wang, Ashley, 2022. "Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 143(1), pages 277-302.
  51. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  52. Huaming Du & Cancan Feng & Yuqian Lei & Chenyang Zhang & Guisong Liu & Gang Kou & Carl Yang & Yu Zhao, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data and LLMs Perspective," Papers 2211.14997, arXiv.org, revised Mar 2026.
  53. Chen, Xi & Wang, Junbo & Wang, Yanchu & Zhong, Xiaoling, 2023. "Extreme illiquidity and stock returns: Evidence from Thailand market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  54. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao, 2023. "Short selling, divergence of opinion and volatility in the corporate bond market," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  55. Fricke, Daniel, 2025. "Synthetic leverage and fund risk-taking," Journal of International Money and Finance, Elsevier, vol. 154(C).
  56. Lee, Kiryoung & Jeon, Yoontae & Nam, Eun-Young, 2021. "Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1063-1077.
  57. Li, Guowen & Jing, Zhongbo & Li, Jingyu & Feng, Yuyao, 2023. "Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective," Economic Modelling, Elsevier, vol. 128(C).
  58. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
  59. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  60. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023. "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
  61. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
  62. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2024. "Sustainability and credit spreads in Japan," International Review of Financial Analysis, Elsevier, vol. 91(C).
  63. Cici, Gjergji & Zhang, Pei (Alex), 2021. "On the valuation skills of corporate bond mutual funds," CFR Working Papers 21-05, University of Cologne, Centre for Financial Research (CFR).
  64. Chen, Xi & Wang, Junbo & Wu, Chunchi, 2022. "Jump and volatility risk in the cross-section of corporate bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
  65. Kung, Ko-Lun & Hsieh, Ming-Hua & Peng, Jin-Lung & Tsai, Chenghsien Jason & Wang, Jennifer L., 2021. "Explaining the risk premiums of life settlements," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  66. Joost Bats & Giovanna Bua & Daniel Kapp, 2023. "Physical and transition risk premiums in euro area corporate bond markets," Working Papers 761, DNB.
  67. Bats, Joost Victor & Bua, Giovanna & Kapp, Daniel, 2024. "Physical and transition risk premiums in euro area corporate bond markets," Working Paper Series 2899, European Central Bank.
  68. Delis, Manthos & Iosifidi, Maria & Hasan, Iftekhar & Tsoumas, Chris, 2021. "Economic preferences over risk-taking and corporate finance," MPRA Paper 106321, University Library of Munich, Germany.
  69. Hu, Debao & Li, Xin & Xiang, George & Zhou, Qiyao, 2023. "Asset pricing models in the presence of higher moments: Theory and evidence from the U.S. and China stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  70. Li, Jiacui, 2022. "Endogenous inattention and risk-specific price underreaction in corporate bonds," Journal of Financial Economics, Elsevier, vol. 145(2), pages 595-615.
  71. Alexander W. Butler & Xiang Gao & Cihan Uzmanoglu, 2021. "Financial Innovation and Financial Intermediation: Evidence from Credit Default Swaps," Management Science, INFORMS, vol. 67(5), pages 3150-3173, May.
  72. Dong, Bingbing & Jiang, Lei & Liu, Jinyu & Zhu, Yifeng, 2022. "Liquidity in the cryptocurrency market and commonalities across anomalies," International Review of Financial Analysis, Elsevier, vol. 81(C).
  73. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
  74. Fang, Yi & Shao, Zhiquan & Zhao, Yang, 2023. "Risk spillovers in global financial markets: Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 821-840.
  75. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
  76. Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020. "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 154-165, March.
  77. Jing-Zhi Huang & Nan Qin & Ying Wang, 2024. "Breadth of Ownership and the Cross-Section of Corporate Bond Returns," Management Science, INFORMS, vol. 70(9), pages 5709-5730, September.
  78. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
  79. Ping Li & Jiahong Li & Dong Wang, 2024. "Anomaly Identification and Premium Mining: Evidence from Chinese Urban Construction Investment Bonds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 945-974, December.
  80. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
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  90. Hu, Xiaolu & Luo, Haoyi, 2023. "Like a duck to water: Do credit rating analysts outperform in bond fund management," Journal of Corporate Finance, Elsevier, vol. 82(C).
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  92. Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2022. "How do corporate bond investors measure performance? Evidence from mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 142(C).
  93. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
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