The Review of Asset Pricing Studies, Volume 7, Issue 2, December 2017

债券二级市场上期望收益率的截面特征

作者：Mehdi Beyhaghi (Department of Finance, University of Texas at San Antonio)

Sina Ehsani (Graham School of Management, Saint Xavier University)

摘要：随着一个流动性和透明度都很好的二级市场的出现，公司债越来越成为投资组合管理中的重要组成部分。这篇文章检验了在债券期望收益率横截面上对公司特征和beta的定价。债券期望收益率随着违约beta降低。违约beta包含着债券评级以及到期利差不能提供的信息。在众多债券特征中，三个月期限的动量策略可以获得每月1.22%的超额收益率。在信用评级很低的借款人的贷款中，动量效应是十分显著的。

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

Mehdi Beyhaghi (Department of Finance, University of Texas at San Antonio)

Sina Ehsani (Graham School of Management, Saint Xavier University)

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.

原文链接:

https://academic.oup.com/raps/article-abstract/7/2/243/2966151?redirectedFrom=fulltext

翻译：汪国颂