Risk and return in international corporate bond markets

Journal of International Financial Markets, Institutions and Money(2021)

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摘要
•Corporate bond returns increase with lower ratings and higher residual maturity.•The corporate bond factor plays a dominant role in explaining the variation of corporate bond returns.•From a factor model perspective, local factors contribute substantially more than global factors.•From a pricing perspective, we find little evidence against the global CAPM model.
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关键词
Corporate bond markets,CAPM,International market integration,Asset class integration,Bond ratings,Risk,Return,Market efficiency tests,Comovement
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