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Working Paper
Modeling Corporate Bond Returns
December 2, 2020
We propose a new conditional factor model for corporate bond returns with four factors and time-varying factor loadings instrumented by observable bond characteristics. We find our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin.
Working Paper
Looking Under the Hood of Active Credit Managers
July 1, 2019
We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.
Journal Article
Style Investing in Fixed Income
March 15, 2018
A disciplined, systematic approach to over-/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities but also within fixed income markets.
Journal Article
(Il)liquidity Premium in Credit Markets: A Myth?
March 8, 2018
Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.
Journal Article
Common Factors in Corporate Bond and Bond Fund Returns
March 1, 2018
This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.
Working Paper
Credit Implied Volatility
March 10, 2015
This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.
Working Paper
Cash-Flow Maturity and Risk Premia in CDS Markets
November 12, 2014
We study the risk adjusted returns of credit default swaps of different maturities to learn more about the impact of higher sensitivities to credit fundamentals.