We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond returns. We also find a positive but insignificant relation...

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury bonds. We find that the predictive power of this factor is both statistically significant and economically important and is not spanned by the current yield curve. The disaster...

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The...