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- W3121377209 abstract "Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and funding liquidity constraints. Bond long-term reversal is not a manifestation of the equity counterpart and is mainly driven by long-term losers. A long-term reversal factor carries a sizable premium and is not explained by long-established equity and bond market factors. Thus, past returns capture investors’ ex-ante risk assessment and the degree of institutional constraints they face, so losing bonds command higher expected returns." @default.
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- W3121377209 date "2021-02-01" @default.
- W3121377209 modified "2023-10-16" @default.
- W3121377209 title "Long-term reversals in the corporate bond market" @default.
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- W3121377209 doi "https://doi.org/10.1016/j.jfineco.2020.08.007" @default.
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