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Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns? · Study

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PreprintDo the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Jennie Bai2015

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Preprintgreen2015

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Jennie Bai · Turan G. Bali · Quan Wen

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1981The relationship between return and market value of common stocks 1987A Simple Model of Capital Market Equilibrium with Incomplete Information

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2016Empirical Asset Pricing: The Cross Section of Stock Returnsarticle · 33 shared references 2021Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidencearticle · 25 shared references 2017Empirical Asset Pricing: The Cross Section of Stock Returns: An Overviewother · 22 shared references 2014. . . and the Cross-Section of Expected Returnsreport · 20 shared references 2019Sovereign bond return prediction with realized higher momentsarticle · 19 shared references 2008Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returnspreprint · 18 shared references

Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2548562

openalex_workW1526757808

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