JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS·Vol. 51, No. 3, June 2016

组合分散和国际公司债券

作者：Edith X. Liu（Cornell University）

摘要：这篇文章考察了公司债券分散化对美国投资者的好处。根据新收集的2000年至2010年的债券数据发现，利用公司债券进行分散化对美国投资者来说能够显著降低收益波动性并提高风险调整后收益。不同于利用股票进行分散化，公司债券能使样本外的风险显著降低，特别是在最近的金融危机中。而且，即使基准包括了国际股票或者使用长期股票样本和主权债券来联合估计公司债券收益，风险降低所得依然很大。最后，在排除了债券特质差异、流动性差异和信息成本等潜在因素后，投资国际范围的公司债券所带来的风险降低所得依然显著存在。

Portfolio Diversification and International Corporate Bonds

Edith X. Liu（Cornell University）

ABSTRACT

This article examines the benefits of corporate bond diversification for U.S. investors. Analysis of a newly compiled bond-level data set for 2000–2010 finds that diversification with corporate bonds can significantly reduce volatility and increase risk-adjusted returns for U.S. investors. Unlike diversification with equities, corporate bonds offer significant out-of-sample risk reduction, particularly during the recent financial crisis. Risk-reduction gains are large even when the benchmark includes international equities or when longer samples of equities and sovereign bonds are used to inform corporate bond returns. Finally, significant risk-reduction gains remain after accounting for bond characteristics, liquidity, and informational costs.

原文链接：http://web.a.ebscohost.com/ehost/pdfviewer/pdfviewer?vid=4&sid=11aa5dc2-3b78-4491-a94c-a2e3dba23420%40sessionmgr4010&hid=4114

翻译：傅亚平