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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2604.05699 |
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| _version_ | 1866911572117422080 |
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| author | Dickerson, Alexander Mueller, Philippe Robotti, Cesare |
| author_facet | Dickerson, Alexander Mueller, Philippe Robotti, Cesare |
| contents | Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing in corporate bonds is exceedingly difficult to establish. Based on portfolio- and bond-level analyses, we demonstrate that previously proposed bond risk factors, with traded liquidity as the only marginal exception, do not have any incremental explanatory power over the corporate bond market factor. Consequently, this implies that the bond CAPM is not dominated by either traded- or nontraded-factor models in pairwise and multiple model comparison tests. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_05699 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Priced risk in corporate bonds Dickerson, Alexander Mueller, Philippe Robotti, Cesare Pricing of Securities Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing in corporate bonds is exceedingly difficult to establish. Based on portfolio- and bond-level analyses, we demonstrate that previously proposed bond risk factors, with traded liquidity as the only marginal exception, do not have any incremental explanatory power over the corporate bond market factor. Consequently, this implies that the bond CAPM is not dominated by either traded- or nontraded-factor models in pairwise and multiple model comparison tests. |
| title | Priced risk in corporate bonds |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2604.05699 |