Factors in Swiss franc corporate bond returns

Samuel Manser ()
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Samuel Manser: Zurich Cantonal Bank

Financial Markets and Portfolio Management, 2023, vol. 37, issue 3, No 2, 277-296

Abstract: Abstract This paper examines the cross-sectional drivers of credit returns for Swiss franc corporate bonds in a comprehensive sample including trade-based prices and effective bid-ask spreads from 2007 to 2022. Characteristics for momentum, carry, value, and defensive explain a significant part of the variation in future credit returns across companies. Value is based on a market-based credit risk model. Except for carry, the characteristics also deliver positive risk-adjusted returns. These results are robust for trade-based prices and different subsamples but transaction costs significantly reduce the profitability of the characteristics. After transaction costs, value and a combination of the characteristics remain profitable and continue to deliver significant risk-adjusted returns.

Keywords: Equity momentum spillover; Corporate bonds; Factor investing; Risk premium; Carry; Value; Bloomberg DRSK; Swiss franc; G11; G12; G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00432-3

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DOI: 10.1007/s11408-023-00432-3

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