Add to Calendar 03/31/2017 10:30:00 03/31/2017 12:00:00 15 BAFI Department Seminar We investigate the cross-sectional determinants of corporate bonds and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds – downside risk, credit risk, and liquidity risk – and find that these novel bond market factors have economically and statistically significant risk premia, which cannot be explained by the long-established stock and bond market factors. We further show that these newly proposed risk factors outperform all other models considered in the literature in explaining the returns of the industry-sorted and size/maturity-sorted portfolios of corporate bonds. Fee: [Yes/No/Varies] Contact Information: Tedda Nathan Dept. Administrator txn2@case.edu 216-368-2040 (Tel) 216-368-6249 (Fax) Peter B. Lewis Building, 11119 Bellflower Road, Cleveland, OH, 44106-7235, United States Weatherhead School of Management txn2@case.edu MM/DD/YYYY

BAFI Department Seminar

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Speaker(s): Turan G. Bali

Date & Time: Friday, March 31 from 10:30 a.m. to Noon

We investigate the cross-sectional determinants of corporate bonds and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds – downside risk, credit risk, and liquidity risk – and find that these novel bond market factors have economically and statistically significant risk premia, which cannot be explained by the long-established stock and bond market factors. We further show that these newly proposed risk factors outperform all other models considered in the literature in explaining the returns of the industry-sorted and size/maturity-sorted portfolios of corporate bonds.

Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan
Dept. Administrator
txn2@case.edu
216-368-2040 (Tel)
216-368-6249 (Fax)

Location
Peter B. Lewis Building
11119 Bellflower Road
Cleveland, OH 44106-7235
United States

Attachment: Bali paper


Interested in learning more about Weatherhead programs? Request more information or apply now, or register for one of over 70 open enrollment courses through Executive Education.

Weatherhead School of Management at Case Western Reserve University cultivates creativity, innovation, and purpose-driven leadership to design a better world.

Return to Calendar

Event Archives: