Aussenegg, Wolfgang; Götz, Lukas; Jelic, Ranko - 2023
We examine monthly excess returns for 23 Euro-denominated corporate bond indices and propose a new specification for … spread term structures, significantly improve the explanatory power of the Fama and French (1993) 2-factor model. We also … demonstrate different sensitivities of risk factors before and after recent financial crisis. The results are robust to calendar …