RETRACTED: Common risk factors in the cross-section of corporate bond returns

Acharya, 2013, Liquidity risk of corporate bond returns: conditional approach, J. Financ. Econ., 110, 358, 10.1016/j.jfineco.2013.08.002 Allen, 2012, Does systemic risk in the financial sector predict future economic downturns?, Rev. Financ. Stud., 25, 3000, 10.1093/rfs/hhs094 Amihud, 2002, Illiquidity and stock returns: cross-section and time-series effects, J. Financ. Mark., 5, 31, 10.1016/S1386-4181(01)00024-6 Ang, 2006, Downside risk, Rev. Financ. Stud., 19, 1191, 10.1093/rfs/hhj035 Artzner, 1999, Coherent measures of risk, Math. Finance, 9, 203, 10.1111/1467-9965.00068 Arzac, 1977, Portfolio choice and equilibrium in capital markets with safety-first investors, J. Financ. Econ., 4, 277, 10.1016/0304-405X(77)90003-4 Bai, J., Bali, T. G., Wen, Q., 2016. Do the distributional characteristics of corporate bonds predict their future returns?Unpublished working paper,Georgetown University. Bai, 2016, Anchoring credit spreads to firm fundamentals, J. Financ. Quant. Anal., 51, 1521, 10.1017/S0022109016000533 Bali, 2009, Is there an intertemporal relation between downside risk and expected returns?, J. Financial and Quantitative Analysis, 44, 883, 10.1017/S0022109009990159 Bali, T. G., Subrahmanyam, A., Wen, Q., 2017. Return-based factors for corporate bonds. Unpublished working paper,Georgetown University and University of California at Los Angeles. Bao, 2011, The illiquidity of corporate bonds, J. Finance, 66, 911, 10.1111/j.1540-6261.2011.01655.x Baumol, 1963, An expected gain-confidence limit criterion for portfolio selection, Manag. Sci., 10, 174, 10.1287/mnsc.10.1.174 Bawa, 1977, Capital market equilibrium in a mean-lower partial moment framework, J. Financ. Econ., 5, 189, 10.1016/0304-405X(77)90017-4 Bessembinder, 2009, Measuring abnormal bond performance, Rev. Financ. Stud., 22, 4219, 10.1093/rfs/hhn105 Bessembinder, 2006, Market transparency, liquidity externalities, and institutional trading costs in corporate bonds, J. Financ. Econ., 82, 251, 10.1016/j.jfineco.2005.10.002 Blume, 1991, Return and volatility of low-grade bonds 1977–1989, J. Finance, 46, 49, 10.1111/j.1540-6261.1991.tb03745.x Brennan, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, J. Financ. Econ., 49, 345, 10.1016/S0304-405X(98)00028-2 Carhart, 1997, On persistence in mutual fund performance, J. Finance, 52, 57, 10.1111/j.1540-6261.1997.tb03808.x Chen, 2007, Corporate yield spreads and bond liquidity, J. Finance, 62, 119, 10.1111/j.1540-6261.2007.01203.x Choi, 2018, Anomalies and market (dis)integration, J. Monetary Econ, 10.1016/j.jmoneco.2018.06.003 Choi, 2018, Reaching for yield by corporate bond mutual funds, Rev. Financ. Stud, 31, 1930, 10.1093/rfs/hhx132 Chordia, 2017, Are capital market anomalies common to equity and corporate bond markets?, J. Financ. Quant. Anal., 52, 1301, 10.1017/S0022109017000515 Culp, 2018, Option-based credit spreads, Am. Econ. Rev., 108, 454, 10.1257/aer.20151606 Daniel, 1997, Evidence on the characteristics of cross-sectional variation in stock returns, J. Finance, 52, 1, 10.1111/j.1540-6261.1997.tb03806.x Dick-Nielsen, 2012, Corporate bond liquidity before and after the onset of the subprime crisis, J. Financ. Econ., 103, 471, 10.1016/j.jfineco.2011.10.009 Elton, 1995, Fundamental economic variables, expected returns, and bond fund performance, J. Finance, 50, 1229, 10.1111/j.1540-6261.1995.tb04056.x Fama, 1993, Common risk factors in the returns on stocks and bonds, J. Financ. Econ., 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 2015, A five-factor asset pricing model, J. Financ. Econ., 116, 1, 10.1016/j.jfineco.2014.10.010 Fama, 1973, Risk, return, and equilibrium: empirical tests, J. Polit. Econ., 81, 607, 10.1086/260061 Feroli, M., Kashyap, A. K., Schoenholtz, K., Shin, H. S., 2014. Market tantrums and monetary policy. Unpublished working paper, New York University and University of Chicago. Gebhardt, 2005, The cross-section of expected corporate bond returns: betas or characteristics?, J. Financ. Econ., 75, 85, 10.1016/j.jfineco.2004.04.002 Gibbons, 1989, A test of the efficiency of a given portfolio, Econometrica, 57, 1121, 10.2307/1913625 Hong, 2013, Quiet bubbles, J. Financ. Econ., 110, 596, 10.1016/j.jfineco.2013.07.002 Hou, 2015, Digesting anomalies: an investment approach, Rev. Financ. Stud., 28, 650, 10.1093/rfs/hhu068 Huang, 2012, Extreme downside risk and expected stock returns, J. Bank. Finance, 36, 1492, 10.1016/j.jbankfin.2011.12.014 Jostova, 2013, Momentum in corporate bond returns, Rev. Financ. Stud., 26, 1649, 10.1093/rfs/hht022 Kwan, 1996, Firm-specific information and the correlation between individual stocks and bonds, J. Financ. Econ., 40, 63, 10.1016/0304-405X(95)00836-4 Lettau, 2014, Conditional risk premia in currency markets and other asset classes, J. Financ. Econ., 114, 197, 10.1016/j.jfineco.2014.07.001 Levy, 1972, Safety first: an expected utility principle, J. Financ. Quant. Anal., 7, 1829, 10.2307/2329805 Lewellen, 2010, A skeptical appraisal of asset pricing tests, J. Financ. Econ., 96, 175, 10.1016/j.jfineco.2009.09.001 Lin, 2011, Liquidity risk and the cross-section of expected corporate bond returns, J. Financ. Econ., 99, 628, 10.1016/j.jfineco.2010.10.004 Longstaff, 2005, Corporate yield spreads: default risk or liquidity? new evidence from the credit-default-swap market, J. Finance, 60, 2213, 10.1111/j.1540-6261.2005.00797.x Merton, 1974, On the pricing of corporate debt: the risk structure of interest rates, J. Finance, 29, 449 Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Pastor, 2003, Liquidity risk and expected stock returns, J. Polit. Econ., 111, 642, 10.1086/374184 Roll, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, J. Finance, 39, 1127, 10.1111/j.1540-6261.1984.tb03897.x Roy, 1952, Safety first and the holding of assets, Econometrica, 20, 431, 10.2307/1907413