Group cointegration analysis on panels of corporate bond data which yields results with rich economic implications for fixed … income portfolio management. Empirical decomposition of yield spreads indicates, on the individual corporate bond level, that … interest rate. Our findings contribute in general to the risk practice of bond portfolio diversification. In particular, the …

diversification issue of corporate bond portfolios. Considering especially long run market behavior, our empirical decomposition of … corporate bond yield spreads indicates that the idiosyncratic component serves as a good vehicle for risk diversification …. Moreover, the idiosyncratic spread provides significant inferences about observed conditional corporate bond default rate …

components makes it possible to quantify the drivers of excess returns in the corporate bond market. …