The Review of Asset Pricing Studies Vol. 7 No. 2 2017
The Cross-Section of Expected Returns in the Secondary Corporate Loan Market
Abstract
Corporate loans increasingly have become an important part of portfolio management with the advent of a liquid and transparent secondary market. This paper examines the pricing of characteristics and betas in the cross-section of expected loan returns. Expected loan returns decrease with default beta. Default beta contains information not captured by rating or spread-to-maturity. Among loan characteristics, a 3-month formation momentum strategy earns a monthly premium of 122 bps. Momentum is prominent in loans issued by the lowest-rated borrowers.
- DOI
- 10.1093/rapstu/raw010
- Volume
- 7
- Issue
- 2
- Pages
- 243-277
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref