with Alexander Dickerson and Giulio Rossetti, 2024, working paper.
[Paper] This paper demonstrates that the large abnormal returns documented for many corporate bond
strategies are primarily artifacts of ignoring market microstructure noise in transaction-based prices
and applying ex-post (asymmetric) data filtering. After addressing these issues, most corporate
bond strategies fail to generate significant abnormal returns. Furthermore, we provide extensive
guidance for improving empirical practices in corporate bond research, including a new protocol for
assessing strategy performance under data uncertainty. Our findings have important implications
for asset pricing research and highlight the need for more rigorous and reproducible methods in
studying corporate bond markets.