Abstract The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk
and return, but empirical studies find the actual relation to be flat, or even negative. This …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

We offer empirical evidence that size, low-risk, value, and momentum factor portfolios
generate economically meaningful and statistically significant alphas in the corporate bond …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

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 …

This paper investigates the application of factor investing in corporate bonds. Our results
show that proficiency in the drivers of risk and return, the factors, should be used for bottom …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

This paper analyzes the surface of CDS implied firm's asset volatility at the aggregate market
level, using a sample of European investment-grade firms during the 2007–2014 period …

Can the art and science of investment management be reduced to a set of patterns that
markets generally follow, in apparent violation of the efficient market hypothesis? Can …

We examine factors in a novel dataset on the cross-section of emerging market hard
currency corporate bonds. We find that the size, low-risk, value, and momentum factors …