Corporate Bond Volatility-adjusted Credit Premium Momentum
January 13, 2017 - Bonds, Momentum Investing
Does the credit premium, measured by the difference in returns between U.S. corporate bonds and duration-matched U.S. Treasuries, exhibit momentum? In his December 2016 paper entitled “Momentum in the Cross-Section of Corporate Bond Returns”, Jeroen van Zundert tests for momentum of the volatility-adjusted credit premium among U.S. corporate bonds via the following methodology: Acquire the monthly… Keep Reading