It is well documented that equity momentum has predictive power for corporate bond returns.
17-08-2012
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リサーチ
On the nature and predictability of corporate bond returns
Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical.
16-05-2012
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リサーチ
The low-risk anomaly in credits
In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years.
