with Alex Dickerson and Philippe Mueller, 2023, Journal of Financial Economics, forthcoming.
[Paper] Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these findings
and provide evidence that common factor pricing in corporate bonds is exceedingly difficult to
establish. Based on portfolio- and bond-level analyses, we demonstrate that previously proposed
bond risk factors, with traded liquidity as the only marginal exception, do not have any incremental
explanatory power over the corporate bond market factor. Consequently, this implies that the bond
CAPM is not dominated by either traded- or nontraded-factor models in pairwise and multiple
model comparison tests.