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 investigate the cross-sectional determinants of corporate bond returns and find that
downside risk is the strongest predictor of future bond returns. We also introduce common …

Recently, there has been a fast-growing literature on the determinants of corporate bond
returns, in particular, the driving force of cross-sectional return variation. In this review, we …

I review the literature on equity market momentum, a seminal and intriguing finding in
finance. This phenomenon is the ability of returns over the past one to four quarters to …

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 …

This article examines the pricing of a firm's carbon risk in the corporate bond market.
Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn …

Using transaction data from the first half of 2020, we examine the reaction of corporate credit
spreads to the Federal Reserve's monetary policy announcements. We find evidence that …

We find that four well-known characteristics (carry, defensive, momentum and value) explain
a significant portion of the cross-sectional variation in corporate bond excess returns. These …

We investigate the return predictability of corporate bonds using big data and machine
learning. We find that machine learning models substantially improve the out-of-sample …

If equity and corporate bond markets are integrated, risk premia in one market should
appear in the other, and their magnitudes should be consistent with each other. We use this …