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- W3204388570 abstract "This paper documents significant price reversal in Chinese corporate bonds using transaction data from 2008 to 2018. We contribute to the existing literature by constructing a reversal factor and proposing a new corporate bond pricing model. Corporate bonds generating lower returns in the past months outperform those generating higher past returns. The reversal profits are strongest in portfolios with around 9-month formation period and disappear when the formation period reaches 12 months. After controlling for bond rating, maturity, turnover, and trading volume, the reversal effects remain significant. We construct a reversal factor and propose a four-factor model by incorporating the new factor into the default-term two-factor bond pricing model plus the bond market factor. The proposed four-factor model captures systematic risk and reversal effect well and makes a significant marginal contribution to explaining the excess return of corporate bond portfolios." @default.
- W3204388570 created "2021-10-11" @default.
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- W3204388570 date "2021-12-01" @default.
- W3204388570 modified "2023-10-16" @default.
- W3204388570 title "Reversal effect and corporate bond pricing in China" @default.
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- W3204388570 doi "https://doi.org/10.1016/j.pacfin.2021.101664" @default.
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