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2. Data-- Corporate bond data 2. Data-- Corporate bond data 1. Remove bonds that

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2021/5/6

屠雪永

Common risk factors in the cross-section of

corporate bond returns

解读者：屠雪永

2021.04.20

Jennie Bai, Turan G. Bali, Quan Wen .

Journal of Financial Economics,2019

Outline

• Introduction

• Research design

• Data and variable definitions

• Empirical study

• Portfolio-level analysis

• Bond-level Fama-MacBeth regressions

• Conclusion

2021/5/6

屠雪永

1. Introduction-- Motivation

2021/5/6

屠雪永

• An extensive literature examines the cross-sectional determinants of

stock returns.

• There is, however, surprisingly little research on the common risk

factors that explain the cross-section of corporate bond returns.

• This paper aims to fill this gap by identifying common risk factors that

predict the cross-sectional differences in corporate bonds.

1. Introduction-- Motivation

2021/5/6

屠雪永

• Size

• total amount $19 trillion/$12 trillion (2016)

• issuance $265 billion / $1.3 trillion (since 2010 )

• Factors

• stock market factors

• bond market factors

• Features

• downside risk

• default risk (credit risk)

• liquidity risk(investors)

1. Introduction-- Framework

2021/5/6

屠雪永

Cross-

sectional bond

risk

characteristics

Credit quality

Bond illiquidity

Downside risk

Bond market β

Fama-MacBeth

regressions

Portfolio

analysis

New risk

factors: DRF,

CRF, LRF, and

REV

Four-

factor

model

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