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Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns / Söhnke M. Bartram, Mark Grinblatt, Yoshio Nozawa.
- Format:
- Book
- Author/Creator:
- Bartram, Söhnke M.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w27655.
- NBER working paper series no. w27655
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- Methodological insights generating comprehensive transaction-based bond datasets reveal that corporate bonds' book-to-market ratios predict returns from prices transacted days after signal observation. Senior bonds (even investment-grade) with the 20% highest ratios outperform the 20% lowest by 3%-4% annually after non-parametrically controlling for numerous liquidity, default, microstructure, and priced-risk attributes: yield-to-maturity, structural model equity hedges, bid-ask-spread, duration/maturity, credit spread/rating, past returns, coupon, size, age, and industry. Spreads for all-bond samples are larger. An efficient bond market would not exhibit the observed decay in the ratio's predictive efficacy with implementation delays, smaller yield-to-maturity spreads, or similar-sized spreads across differing liquidity/de-fault bond-types.
- Notes:
- Print version record
- August 2020.
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