Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …

We propose a conditional factor model for corporate bond returns with five factors and time‐
varying factor loadings. We have three main empirical findings. First, our factor model excels …

We decompose corporate bond and equity index returns into duration-matched government
bond returns and the excess returns over this duration-matched counterfactual, which we …

Quite simply, they are not. Corporate bond anomalies related to return reversals and
momentum have been shown to generate large average returns to investors, even after …

Analyzing over 562 trillion possible models, we find that the majority of tradable factors
designed to price bond markets are unlikely sources of priced risk, and only one novel …

I examine which economic uncertainty measures matter for the cross-section of corporate
bond returns using 40 corporate bond portfolios for a long period from 1973 to 2020. Out of a …

We survey 2,548 representative US respondents to estimate subjective risk-return trade-offs
in savings, government bonds, stocks, real estate, gold, and cryptocurrencies. We document …

Motivated by the growing importance of the Chinese domestic economy for the global
economic condition, we test whether the consumption risk of China matters for the cross …

We argue that the documented large abnormal returns to investors from corporate bond
anomalies such as return reversals and momentum mainly stem from ignoring market …

International Corporate Bond Market: Uncovering Risks Using Machine Learning* Page 1
International Corporate Bond Market: Uncovering Risks Using Machine Learning* Delong Li …