Fixed-Income Value Factor

Shawn Shen, Arom Pathammavong, A. Chen
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Abstract

The value effect is one of the most well-studied and evidenced market factors in equities. However, there has not been a widely accepted definition of the value factor in fixed income. In this article, the authors put forward their approach to the value factor by using a model-implied OAS framework to identify under- and overvalued securities. They evaluate the model with a highly controlled testing and reweighting mechanism to best preserve the credit, maturity, and industry characteristics to filter out the noise from undesired sources. Empirical results across various global corporate bond markets show that the value factor could unlock additional returns while accompanied by higher volatilities as a result of its cyclicality. The framework applied in the article can also be extended to test the effectiveness of other fixed income factors. TOPICS: Analysis of individual factors/risk premia, factor-based models, factors, risk premia
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固定收益价值因子
价值效应是股票中研究和证明最充分的市场因素之一。然而,对于固定收益中的价值因素,还没有一个被广泛接受的定义。在本文中,作者提出了他们的价值因素的方法,通过使用模型隐含的OAS框架来识别低估值和高估值的证券。他们使用高度受控的测试和重新加权机制来评估模型,以最好地保留信用、成熟度和行业特征,从而过滤掉来自不希望的来源的噪声。全球各种公司债券市场的实证结果表明,价值因素可以释放额外的回报,同时由于其周期性,其波动性更高。文章中应用的框架也可以扩展到测试其他固定收入因素的有效性。主题:单个因素/风险溢价分析,基于因素的模型,因素,风险溢价
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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