Long-term reversals in the corporate bond market

被引：33

作者：

Bali, Turan G. ^{[1
]}

Subrahmanyam, Avanidhar ^{[2
]}

Wen, Quan ^{[1
]}

机构：

[1] Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA

[2] Univ Calif Los Angeles, Anderson Grad Sch Management, Goldyne & Irwin Hearsh Chair Money & Banking, 110 Westwood Plaza, Los Angeles, CA 90095 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 139卷 / 02期

关键词：

Corporate bonds; Long-term reversal; COMMON RISK-FACTORS; ASSET FIRE SALES; RETURN REVERSALS; CREDIT RATINGS; TRADING COSTS; STOCK; MOMENTUM; OVERREACTION; LIQUIDITY; EQUITY;

D O I：

10.1016/j.jfineco.2020.08.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term reversal is not a manifestation of the equity counterpart and is mainly driven by long-term losers. A long-term reversal factor carries a sizable premium and is not explained by long-established equity and bond market factors. Thus, past returns capture investors' ex-ante risk assessment and the degree of institutional constraints they face, so losing bonds command higher expected returns. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：656 / 677

页数：22

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