News and the cross-section of expected corporate bond returns

Journal of Banking and Finance

Volumn 33, Issue 6, 2009, Pages 996-1004

  Abhyankar, Abhay ^a   Gonzalez, Angelica ^a  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

Asset pricing model; Bond market; Variance decomposition

Indexed keywords

EID: 62749109643     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.10.011     Document Type: Article

References (26)

1. Baker M., Greenwood R., and Wurgler J. The maturity of debt issues and predictable variation in bond returns. Journal of Financial Economics 70 (2003) 261-291
2. Brunnermeier M., and Julliard C. Money illusion and housing frenzies. Review of Financial Studies 20 (2007) 1941-1973
3. Campbell J. Intertemporal asset pricing without consumption data. American Economic Review 83 (1993) 487-512
4. Campbell J., and Ammer J. What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance 48 (1993) 3-37
5. Campbell J., Lo A., and MacKinlay C. The Econometrics of Financial Data (1997), Princeton University Press, New Jersey
6. Campbell J., and Vuolteenaho T. Bad beta, good beta. American Economic Review 94 (2004) 1249-1275
7. Chang E., and Huang R. Time-varying return and the risk in the corporate bond market. Journal of Financial and Quantitative Analysis 25 (1990) 323-340
8. Chen, L., Zhao, S., 2008. Return Decomposition. American Finance Association 2007 Meeting Working Paper.
9. Cochrane J. Asset Pricing (2005), Princeton University Press, New Jersey
10. De Goeij P., and Marquering W. Macroeconomic announcements and asymmetric volatility in bond returns. Journal of Banking and Finance 30 (2006) 2659-2680
11. Elton E.J., Gruber M.J., Agrawal D., and Mann C. Factors affecting the valuation of corporate bonds. Journal of Banking and Finance 29 (2005) 347-368
12. Engsted T., and Tanggaard C. The Danish stock and bond markets: Co-movement, return predictability and variance decomposition. Journal of Empirical Finance 8 (2001) 243-271
13. Epstein L., and Zin S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 57 (1989) 937-969
14. Fama E., and French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
15. Ferson W., Kisgen D., and Henry T. Evaluating government bond fund performance with stochastic discount factors. Review of Financial Studies 19 (2006) 423-455
16. Gebhardt W., Hvidkjaer S., and Swaminathan B. The cross-section of expected corporate bond returns: betas or characteristics?. Journal of Financial Economics 75 (2005) 85-114
17. Guo H. Time-varying risk premia and the cross section of stock returns. Journal of Banking and Finance 30 (2005) 2087-2107
18. Huij J., and Derwall J. Hot hands in bond funds. Journal of Banking and Finance 32 (2008) 559-572
19. International Monetary Fund, 2007. Global Financial Stability Report: Market Developments and Issues, IMF.
20. Investment Company Institute, 2007a. A review of trends and activity in the investment company industry, 47th ed, ICI.
21. Investment Company Institute, 2007b. Trends in mutual funds investing.
22. Jagannathan R., and Wang Z. The conditional CAPM and the cross-section of expected returns. Journal of Finance 51 (1996) 3-53
23. Lewellen, J., Nagel, S., Shanken, J., 2008. A skeptical appraisal of asset pricing tests. Working Paper, Tuck School of Business, Dartmouth.
24. Perraudin, W., Taylor, A., 2003. Liquidity and bond market spreads. EFA 2003 Annual Conference Paper No. 879.
25. Sangvinatsos, A., 2005. Explanatory and predictive analysis of corporate bond indices returns. Working paper, University of Southern California.
26. Shanken J. On the estimation of beta-pricing models. Review of Financial Studies 51 (1992) 1-33