Determinants of Corporate Bond Returns in Korea: Characteristics or Betas?

초록

This study investigates how the corporate bond's characteristics and Betas affect bond returns by using extensive Korean corporate bonds data from 2001 to the first half of 2007. Overall, our results indicate that bond characteristics provide significant explanations to excess returns while market factors (i.e., Betas) do not. It is strikingly different from the U.S. study of Gebhardt et al. (2005), which showed that market factors notably affect the excess returns of U.S. corporate bonds.

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