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A Conditional Variance Model of Corporate Bond Excess Return Distributions

Kevin J. Stoll
The Journal of Fixed Income Summer 2017, 27 (1) 6-26; DOI: https://doi.org/10.3905/jfi.2017.27.1.006
Kevin J. Stoll
is an executive director and head of quantitative research at Sterling Capital Management in Raleigh, NC
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Abstract

The author presents a model that addresses the dynamic and asymmetric nature of corporate bond excess return distributions. The model forecasts the distribution of monthly corporate bond excess returns conditional on credit spreads, spread duration, and market share. Relative to an approach based on credit ratings, the distribution of standardized residuals of the conditional variance model more closely approaches the standard normal distribution. Over time the model accurately forecasts changes in corporate bond volatility and reflects cross-sectional differences in the volatility of bond cohorts defined by credit rating, industry, and maturity. U.S. investment grade corporate bonds are the focus of the analysis, but the author also presents results for a high yield model.

TOPICS: Fixed income and structured finance, volatility measures

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The Journal of Fixed Income: 27 (1)
The Journal of Fixed Income
Vol. 27, Issue 1
Summer 2017
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A Conditional Variance Model of Corporate Bond Excess Return Distributions
Kevin J. Stoll
The Journal of Fixed Income Jun 2017, 27 (1) 6-26; DOI: 10.3905/jfi.2017.27.1.006

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A Conditional Variance Model of Corporate Bond Excess Return Distributions
Kevin J. Stoll
The Journal of Fixed Income Jun 2017, 27 (1) 6-26; DOI: 10.3905/jfi.2017.27.1.006
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  • Article
    • Abstract
    • MODEL DESIGN
    • MODEL VARIABLES
    • INVESTMENT GRADE CORPORATE BOND COHORTS
    • INVESTMENT GRADE CORPORATE BOND MODEL RESULTS
    • ACVM PERFORMANCE ACROSS DIFFERENT BOND CHARACTERISTICS AND THROUGH TIME
    • PORTFOLIO MANAGEMENT WITHIN AN ACVM RISK FRAMEWORK
    • EVALUATING HIGH YIELD CORPORATE BOND RISK
    • CONCLUSION AND IDEAS FOR FURTHER STUDY
    • ENDNOTES
    • REFERENCES
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