Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns
Tue 24. May 2022
12:00 - 13:00
Event location
virtuell
Controlling for numerous attributes tied to default and priced asset risk, including yield, credit spread, bond rating, and maturity, we find that a corporate bond’s book value divided by its market price strongly predicts its return. Bonds with the 20% highest “bond book-to-market ratios” outperform their lowest quintile counterparts by 3%-4% per year, other things equal. The rapid decay in the ratio’s predictive efficacy with delay, the wide scope of the ratio’s efficacy across the bond-type spectrum, and the insufficient ability of factor risk to account for the anomaly rejects the thesis that the corporate bond market is perfectly informationally efficient.
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€ 35.00
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30 tickets
24.
May
2022
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