Sohnke M. Bartram, Mark Grinblatt, and Yoshio Nozawa ♦ Corporate bonds’ book-to-market ratios predict returns computed from transaction prices. Senior bonds (even investment-grade) with the 20% highest ratios outperform the 20% lowest by 3%–4% annually after non-parametrically controlling for numerous…
Wolfgang Drobetz, Fabian Holstein, Tizian Otto, and Marcel Prokopczuk ♦ Machine learning-based market beta estimators outperform established benchmark models both statistically and economically. Analyzing the predictability of time-varying market betas of U.S. stocks, we document that machine learning-based estimators produce…
Wayne Ferson, Andrew F. Siegel, and Junbo L. Wang ♦ We develop methods for testing factor models when the weights in portfolios of factors and test assets can vary with lagged information. We derive and evaluate consistent standard errors and…
Xinjie Wang, Ge Wu, and Zhaodong (Ken) Zhong ♦ The CDS Big Bang introduced two standard coupons for CDS trading. We exploit the setting of the two standard coupons as a natural experiment to quantify the components of the bid-ask…
Turan G. Bali, Avanidhar Subrahmanyam, and Quan Wen ♦ In this corrigendum, we address three issues in Bali, Subrahmanyam, and Wen (BSW) (2021). First, we included in BSW an inaccurate description of the database employed, which we now correct. Second,…
J. Benson Durham ♦ A novel arbitrage-free model of nominal U.S. Treasuries that decomposes yields into frictionless expected rates, frictionless term premiums, and liquidity premiums produces four key results from January 1987 through August 2023. First, liquidity loadings are larger…
