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Journal Article

Sustainable Systematic Credit

September 7, 2021 - Peter Diep Lukasz Pomorski Scott A. Richardson

Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.

Journal Article

Is (Systematic) Value Investing Dead?

March 14, 2020 - Kristoffer Laursen Scott A. Richardson

Undoubtedly, many systematic approaches to value investing have suffered recently. However, we find the popular suggestion that value investing is dead to be premature. We find expectations of fundamental information have been and continue to be an important driver of security returns.

Journal Article

Active Fixed Income Illusions

December 17, 2019 - Jordan Brooks Tony Gould Scott A. Richardson

Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.

Journal Article

Style Investing in Fixed Income

March 15, 2018 - Jordan Brooks Diogo Palhares Scott A. Richardson

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 - Scott A. Richardson Diogo Palhares

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 - Diogo Palhares Scott A. Richardson

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.

Journal Article

The Credit Risk Premium

January 15, 2017 - Scott A. Richardson

Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors of this paper find what they characterize as strong evidence of credit risk premium after correctly adjusting for term risk.

Journal Article

Style Investing in Fixed Income Markets

April 1, 2016 - Jordan Brooks Scott A. Richardson

A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive (sometimes called “quality”), can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.

Journal Article

Asset Volatility

November 10, 2015 - Maria Correia Johnny Kang Scott A. Richardson

We aim to bring a better understanding of credit risk, by investigating whether combining market- and accounting-based measures of asset volatility generates a superior measure of total asset volatility.

Journal Article

Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns

April 24, 2014 - Ningzhong Li Scott A. Richardson Irem Tuna

In an increasingly interconnected global system of economic and financial markets, understanding the macroeconomic landscape is important.