Comoment risk in corporate bond yields and returns

Pascal François, Stephanie Heck, Georges Hübner and Thomas Lejeune

Journal of Financial Research, 2022, vol. 45, issue 3, 471-512

Abstract: In this article, we provide a comoment factor analysis of corporate bond returns using sector indices. We split returns into systematic default risk premiums rewarding for default risk exposure, and net excess returns adjusting for market conditions. Higher comoments contribute positively to systematic default risk premiums, whereas covariance and cokurtosis lower net excess returns as they trigger value losses. The positive coskewness effect, more pronounced during low yields, corroborates the “reach‐for‐yield” phenomenon. The gradual substitution between covariation and tail risk contributions to the systematic default risk premium for higher maturities suggests a shift from the pricing of downgrading to outright default risk.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/jfir.12281

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:bla:jfnres:v:45:y:2022:i:3:p:471-512

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-2592

Access Statistics for this article

Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay

More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().