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- Published online July 1, 2019.
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- Latest version (February 14, 2019 - 02:05).
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© 2019 Pageant Media Ltd
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- Shawn Shen
- Arom Pathammavong
- Alex Chen
- To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
Fixed-Income Value Factor
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- Article
- Abstract
- PAST APPROACHES TO VALUE IN CREDIT MARKETS
- A PARSIMONIOUS MODEL TO DETERMINE THE VALUE FOR CORPORATE BONDS
- CHARACTERISTICS AND BEHAVIOR OF THE FIXED-INCOME VALUE EFFECT
- DATA
- CROSS-SECTIONAL REGRESSION MODEL
- DECILING AND REWEIGHTING
- VALUE FACTOR IN THE US INVESTMENT-GRADE CORPORATE BOND MARKET
- EX ANTE VOLATILITY ADJUSTMENT
- RISK CHARACTERISTICS AND INDUSTRY BREAKDOWN
- ATTRIBUTION OF THE EXCESS RETURN OF THE VALUE INDEX
- ASSESSMENT OF THE VALUE FACTOR’S PREDICTION POWER
- PRACTICAL IMPLEMENTATION CONSIDERATIONS
- EMPIRICAL RESULTS IN GLOBAL CORPORATE BOND MARKETS
- CONCLUSION
- ACKNOWLEDGMENTS
- REFERENCES
- Info & Metrics
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