TY - JOUR
T1 - News and the Cross-Section of Corporate Bond Returns
AU - Abhyankar, A.
AU - Gonzalez, A.
PY - 2009
Y1 - 2009
N2 - We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three-factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios. We find that two factors – innovations about future inflation and innovations about future real interest rates – explain the cross-section of expected corporate bond returns in our sample. Our model provides an alternative to the ad hoc risk factor models used, for example, in evaluating the performance of bond mutual funds.
AB - We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three-factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios. We find that two factors – innovations about future inflation and innovations about future real interest rates – explain the cross-section of expected corporate bond returns in our sample. Our model provides an alternative to the ad hoc risk factor models used, for example, in evaluating the performance of bond mutual funds.
UR - http://www.scopus.com/inward/record.url?scp=62749109643&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2008.10.011
DO - 10.1016/j.jbankfin.2008.10.011
M3 - Article
VL - 33
SP - 996
EP - 1004
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
IS - 6
ER -