Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Extending Fama–French Factors to Corporate Bond Markets

Demir Bektić, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck and Timo Spielmann
The Journal of Portfolio Management Quantitative Special Issue 2019, 45 (3) 141-158; DOI: https://doi.org/10.3905/jpm.2019.45.3.141
Demir Bektić
is a senior portfolio manager, fixed income at Deka Investment GmbH, a member of IQ-KAP, and an assistant professor at Darmstadt University of Technology in Darmstadt, Germany
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Josef-Stefan Wenzler
is a senior portfolio manager, fixed income at Deka Investment GmbH and a member of IQ-KAP in Frankfurt, Germany
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Michael Wegener
is a managing director and head of quant products equities and fixed income at Deka Investment GmbH and a general manager of IQ-KAP in Frankfurt, Germany
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Dirk Schiereck
is a professor at Darmstadt University of Technology in Darmstadt, Germany
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Timo Spielmann
is a portfolio manager at Deka Investment GmbH and a member of IQ-KAP in Frankfurt, Germany
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

The explanatory power of size, value, profitability, and investment has been extensively studied for equity markets. Yet, the relevance of these factors in global credit markets is less explored, although equities and bonds should be related according to structural credit risk models. In this article, the authors investigate the impact of the four Fama–French factors in the US and European credit space. Although all factors exhibit economically and statistically significant excess returns in the US high-yield market, the authors find mixed evidence for US and European investment-grade markets. Nevertheless, they show that investable multifactor portfolios outperform the corresponding corporate bond benchmarks on a risk-adjusted basis. Finally, their results highlight the impact of company-level characteristics on the joint return dynamics of equities and corporate bonds.

TOPICS: Credit risk management, equity portfolio management, factor-based models, other real assets

  • © 2019 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 45 (3)
The Journal of Portfolio Management
Vol. 45, Issue 3
Quantitative Special Issue 2019
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Extending Fama–French Factors to Corporate Bond Markets
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Extending Fama–French Factors to Corporate Bond Markets
Demir Bektić, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck, Timo Spielmann
The Journal of Portfolio Management Feb 2019, 45 (3) 141-158; DOI: 10.3905/jpm.2019.45.3.141

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Extending Fama–French Factors to Corporate Bond Markets
Demir Bektić, Josef-Stefan Wenzler, Michael Wegener, Dirk Schiereck, Timo Spielmann
The Journal of Portfolio Management Feb 2019, 45 (3) 141-158; DOI: 10.3905/jpm.2019.45.3.141
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • RETURN DYNAMICS BETWEEN EQUITY AND DEBT
    • DATA AND METHODOLOGY
    • EMPIRICAL RESULTS
    • DISCUSSION AND INTERPRETATION OF THE RESULTS
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Factor Investing in Emerging Market Credits
  • Carry Strategies and the US Dollar Risk of US and Global Bonds
  • Rates Factors and Global Asset Allocation
  • The Bond-Equity-Fund Relation Using the Fama-French-Carhart Factors: A Practical Network Approach
  • The Market Risk of Corporate Bonds
  • The Worlds Oldest Asset Class Enters the 21st Century: How Technology Is Transforming Real Estate Investment
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies