Previously proposed corporate bond risk factors generally lack incremental explanatory power over the market factor, except for traded liquidity, so the bond CAPM is not dominated by multifactor models.
the EJN sample (1984:03-2019:12) and our set of basis assets (DMR basis assets) vs
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Priced risk in corporate bonds
Previously proposed corporate bond risk factors generally lack incremental explanatory power over the market factor, except for traded liquidity, so the bond CAPM is not dominated by multifactor models.