PT - JOURNAL ARTICLE AU - Demir Bektić AU - Josef-Stefan Wenzler AU - Michael Wegener AU - Dirk Schiereck AU - Timo Spielmann TI - Extending Fama–French Factors to Corporate Bond Markets AID - 10.3905/jpm.2019.45.3.141 DP - 2019 Feb 28 TA - The Journal of Portfolio Management PG - 141--158 VI - 45 IP - 3 4099 - https://pm-research.com/content/45/3/141.short 4100 - https://pm-research.com/content/45/3/141.full AB - 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