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Factor Investing and the Integration of Corporate Bond and Equity Markets

https://doi.org/10.2139/ssrn.6588823
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Systematic default and return predictability in the stock and bond markets
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Optimal Portfolio Choice with Parameter Uncertainty
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Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
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Model Comparison with Sharpe Ratios
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Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns
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Liquidity Risk and Expected Stock Returns
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How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
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Structural Models of Corporate Bond Pricing: An Empirical Analysis
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An Empirical Analysis of Stock and Bond Market Liquidity
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
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Measuring Abnormal Bond Performance
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Evaporating Liquidity
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Momentum in Corporate Bond Returns
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Digesting Anomalies: An Investment Approach
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Mispricing Factors
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De Facto Seniority, Credit Risk, and Corporate Bond Prices
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Reaching for Yield in Corporate Bond Mutual Funds
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Replicating Anomalies
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Short and Long Horizon Behavioral Factors
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A Transaction-Cost Perspective on the Multitude of Firm Characteristics
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What Are the Best Liquidity Proxies for Global Research?
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Specification Analysis of Structural Credit Risk Models
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The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights
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The Limits of Arbitrage
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Investor Sentiment and the Cross‐Section of Stock Returns
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The Illiquidity of Corporate Bonds
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Presidential Address: Discount Rates
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Comparing Asset Pricing Models
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Taming the Factor Zoo: A Test of New Factors
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Liquidity Supply in the Corporate Bond Market
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Modeling Corporate Bond Returns
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Is There a Replication Crisis in Finance?
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The Global Credit Spread Puzzle
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Long‐Horizon Exchange Rate Expectations
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Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
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Implied Volatility Changes and Corporate Bond Returns
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Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance
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Reaching for Yield and the Cross Section of Bond Returns
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Open Source Cross-Sectional Asset Pricing
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Financial Machine Learning
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Liquidity Biases in TRACE
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