The Cross-Section of Expected Returns in the Secondary Corporate Loan Market

Mehdi Beyhaghi and Sina Ehsani

The Review of Asset Pricing Studies, 2017, vol. 7, issue 2, 243-277

Abstract: Corporate loans increasingly have become an important part of portfolio management with the advent of a liquid and transparent secondary market. This paper examines the pricing of characteristics and betas in the cross-section of expected loan returns. Expected loan returns decrease with default beta. Default beta contains information not captured by rating or spread-to-maturity. Among loan characteristics, a 3-month formation momentum strategy earns a monthly premium of 122 bps. Momentum is prominent in loans issued by the lowest-rated borrowers.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1093/rapstu/raw010 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:7:y:2017:i:2:p:243-277.

Access Statistics for this article

The Review of Asset Pricing Studies is currently edited by Zhiguo He

More articles in The Review of Asset Pricing Studies from Society for Financial Studies
Bibliographic data for series maintained by Oxford University Press ().