Transaction Costs and Capacity of Systematic Corporate Bond Strategies

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE Financial Analysts Journal Pub Date : 2024-07-17 DOI:10.1080/0015198x.2024.2360390

Alexey Ivashchenko, Robert Kosowski

引用次数: 0

Abstract

Can systematic corporate bond investments generate attractive returns net of costs? To answer this question, we apply the principle of market microstructure invariance and obtain bond transaction c...

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系统性公司债券策略的交易成本和能力

扣除成本后，系统性公司债券投资能否产生有吸引力的回报？为了回答这个问题，我们运用市场微观结构不变性原理，得出了债券交易成本。

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.

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