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Modeling Corporate Bond Returns
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Modeling Corporate Bond Returns (2023)Modeling Corporate Bond ReturnsEmpirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…A five-factor asset pricing model (2014)A five-factor asset pricing m…Betting against beta (2013)Betting against betaPresidential Address: Discount Rates (2011)Presidential Address: Discoun…In Search of Distress Risk (2008)In Search of Distress RiskThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Industry costs of equity (1997)Industry costs of equityThe Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …In Safe Hands: The Financial and Real Impact of Investor Composition over the Credit Cycle (2025)In Safe Hands: The Financial …Interpretable machine learning for creditor recovery rates (2024)Interpretable machine learnin…Duration-Based Valuation of Corporate Bonds (2024)Duration-Based Valuation of C…Financial Machine Learning (2023)Financial Machine LearningDeep Learning in Characteristics-Sorted Factor Models (2023)Deep Learning in Characterist…A One-Factor Model of Corporate Bond Premia (2023)A One-Factor Model of Corpora…Machine Learning and the Implementable Efficient Frontier (2022)Machine Learning and the Impl…Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress (2022)Commonality in Credit Spread …Crypto Value, Factor Pricing, and Market Segmentation (2021)Crypto Value, Factor Pricing,…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)THE 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.] (1975)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Modeling Term Structures of Defaultable Bonds (1999)Forecasting Default with the Merton Distance to Default Model (2008)Comparing Predictive Accuracy (1994)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1997Industry costs of equity5,793 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2013Betting against beta2,027 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited

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