We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds -- downside risk, credit risk, and...

We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the corporate bond market. We find a significantly positive intertemporal relation between expected return and risk in the bond market and the time-series predictability is driven by aggregate...

We investigate whether the distributional characteristics of corporate bonds predict the cross-sectional differences in future bond returns. The results indicate a significantly positive (negative) link between volatility (skewness) and expected returns, whereas kurtosis does not make a robust...

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...

The WRDS Corporate Bond Database, introduced in April 2017, offers a clean and publicly accessible dataset for corporate bond research. In this article, we construct and replicate the Bai, Bali, and Wen (2019, BBW) factors using the WRDS bond returns with the SAS codes in the appendix. Using the...

Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term...

We examine the role of macroeconomic uncertainty in the cross-section of corporate bonds and find a significant uncertainty premium for both investment-grade (0.40% per month) and non-investment-grade (0.81% per month) bonds. The economic uncertainty premium declines as we progressively remove...