Value investing in the Corporate Bond Market: Recognize the pattern

Value investing is about finding cheap assets in financial markets. Benjamin Graham, often recognized as the founding father of Value investing, explained the concepts in his seminal book “The Intelligent investor”. Flash forward 70 years, with the availability of more and more computational power, it is artificial intelligence that is gathering most attention. In this research we are combining the very old and the new: building a Value strategy using concepts from the past with modern day techniques.

The academic literature on Value investing in credit markets is limited. While extensive work on equity markets has been documented, the literature on corporate bonds is sparse. In this research we extend on our own research (Houweling and Van Zundert, 2017) and that of others (L’Hoir and Boulhabel, 2010, and Correia et. al., 2012) by looking at alternative approaches to Value investing in the corporate bond market.

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Houweling, van Zundert, 2017, “Factor Investing in Corporate Bonds”, Financial Analysts Journal

L’Hoir, Boulhabel, 2010, “A Bond-Picking Model for Corporate Bond Allocation.” Journal of Portfolio Management

Correia, Richardson, Tuna, 2012, “Value Investing in Credit Markets.” Review of Accounting Studies