Factor decomposition and diversification in European corporate bond markets

Research output: Contribution to journalArticleAcademicpeer-review

3 Citations (Scopus)

Abstract

In this paper we present an analysis of diversification strategies on portfolios of European corporate bonds. From the perspective of a U.S.-based investor we study whether mean-variance diversification strategies change as a result of the introduction of the European Economic and Monetary Union (EMU). Using a comprehensive and unique data set of European corporate bonds we show that country factors are more important than industry factors to describe the cross-section of European corporate bonds. In particular we find that in the Post-EMU period country factors remain important.
Original languageEnglish
Pages (from-to)194-213
Number of pages21
JournalJournal of International Money and Finance
Volume32
Issue numberFebruary
DOIs
Publication statusPublished - 2013

Fingerprint

Dive into the research topics of 'Factor decomposition and diversification in European corporate bond markets'. Together they form a unique fingerprint.

Cite this