RT Journal Article SR Electronic T1 Extending Fama–French Factors to Corporate Bond Markets JF The Journal of Portfolio Management FD Institutional Investor Journals SP 141 OP 158 DO 10.3905/jpm.2019.45.3.141 VO 45 IS 3 A1 Demir Bektić A1 Josef-Stefan Wenzler A1 Michael Wegener A1 Dirk Schiereck A1 Timo Spielmann YR 2019 UL https://pm-research.com/content/45/3/141.abstract 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