Systematic Credit Strategies: Factor Dynamics and Cross-Market Spillovers
The research identifies 21 bond factors that generate significant positive alpha in bond and CDS markets, with similar factor performance across equity and credit markets and noticeable momentum in bond factors.
Featured in No. 46 on 24 Apr 2024 · 1 day after release · 0 citations today
- Released
- 23 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
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- Identifier
- SSRN 4805159
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