We show that factors from value, quality, low risk and momentum styles play an important role in explaining the cross-section of corporate bond expected returns for the U.S. and Euro Investment Grade and U.S. BB-B non-Financial High Yield universes. We demonstrate the importance of purifying...

In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture...