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Heckel et al., 2020 - Google Patents

Factor investing in corporate bond markets: enhancing efficacy through diversification and purification!

Heckel et al., 2020

Document ID
6594255975407246697
Author
Heckel T
Amghar Z
Haik I
Laplénie O
de Carvalho R
Publication year
Publication venue
The Journal of Fixed Income

External Links

Snippet

We show that factors from value, quality, low-risk, and momentum styles play an important role in explaining the cross-section of corporate bond expected returns for the US and Euro Investment Grade and US BB-B Nonfinancial High Yield universes. We demonstrate the …
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