Abstract
Using the Ibbotson/Sinquefield data documenting the returns of long-term corporate and government bonds, Asvanunt and Richardson [2017] find a sizable investment-grade credit premium that is also statistically significant after accounting for exposure to equity, size, value and momentum factors. In this piece, we focus on the Ibbotson/Sinquefield data starting in 1969 when the series began directly referencing the Salomon Brothers High-Grade Long-Term Corporate Bond Index spliced with Bloomberg/Barclay's data starting in August 1988 and separately the Bloomberg/Barclay's data going back to 1975. For both series, we find a weaker credit premium that is not statistically significant after adjusting for equity market factors. Consequently, we find that corporate bonds are duplicative in portfolios that already include stocks and government bonds and therefore have not improved portfolio efficiency.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
