Size, value, momentum and beta factors have been extensively studied for equity markets, but their impact on corporate bond markets is much less explored. Since structural models based on contingent claims link credit and equity securities, we study if these factors extend their success in...

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. We...