Factor decomposition and diversification in European corporate bond markets

Mary Pieterse-Bloem and Ronald Mahieu

Journal of International Money and Finance, 2013, vol. 32, issue C, 194-213

Abstract: In this paper we present an analysis of diversification strategies on portfolios of European corporate bonds. From the perspective of a US-based investor we study whether mean–variance diversification strategies change as a result of the introduction of the European Economic and Monetary Union (EMU). Using a comprehensive and unique data set of European corporate bonds we show that country factors are more important than industry factors to describe the cross-section of European corporate bonds. In particular we find that in the Post-EMU period country factors remain important.

Keywords: Corporate bonds; Europe; Allocation strategies; EMU; Factor models (search for similar items in EconPapers)
JEL-codes: F33 G11 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:32:y:2013:i:c:p:194-213

DOI: 10.1016/j.jimonfin.2012.04.005

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