Equity and nontradable factors suffice to price corporate bond risk premia after Treasury term-structure adjustment, and a Bayesian model-averaging SDF that combines dozens of factors delivers out-of-sample Sharpe ratios of 1.5-1.8 while tracking the business cycle.
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The Co-Pricing Factor Zoo
Equity and nontradable factors suffice to price corporate bond risk premia after Treasury term-structure adjustment, and a Bayesian model-averaging SDF that combines dozens of factors delivers out-of-sample Sharpe ratios of 1.5-1.8 while tracking the business cycle.