The Short-Term Corporate Bond Anomaly PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Short-Term Corporate Bond Anomaly PDF full book. Access full book title The Short-Term Corporate Bond Anomaly by Jeroen Derwall. Download full books in PDF and EPUB format.

The Short-Term Corporate Bond Anomaly

The Short-Term Corporate Bond Anomaly PDF Author: Jeroen Derwall
Publisher:
ISBN:
Category :
Languages : en
Pages : 39

Book Description
This paper finds that common risk factors significantly underestimate the returns on corporate bonds with a short maturity. A substantial portion of short-term corporate bond returns is independent of risk premiums associated with market risk, term and default risk, yield curve dynamics, liquidity risk and premiums associated with macro-economic variables. Comparable evidence of the short-term corporate bond anomaly also shows up in portfolios of corporate bond mutual funds, indicating that the anomaly withstands important practical issues, such as short-selling restrictions, transaction costs, and illiquidity.
➤