Journal of Banking & Finance · Vol.79 · JUNE 2017

从股票到公司债券的动量溢出

作者：Daniel Haesen, Patrick Houweling, Jeroen van Zundert (Robeco Investment Research, Weena 850, 3014 DA Rotterdam, The Netherlands)

摘要：我们研究和提高股票到公司债券的动量溢出，即股票市场中过去的获胜者是公司债券市场未来的赢家。我们发现，如果市场周期从熊市转为牛市，动量溢出策略将表现出强大的结构性和时变违约风险敞口，这将会导致策略的盈利能力下滑并出现较大的亏损。通过对公司特有的股权回报（而不是其总股本回报）进行排名，违约风险敞口将减半，夏普比率翻倍，而且亏损将大大减少。

关键词：公司债券，溢出效应，动量，时变风险，剩余回报

Momentum spillover from stocks to corporate bonds

Daniel Haesen, Patrick Houweling, Jeroen van Zundert (Robeco Investment Research, Weena 850, 3014 DA Rotterdam, The Netherlands)

ABSTRACT

We investigate and improve momentum spillover from stocks to corporate bonds, i.e. the phenomenon that past winners in the equity market are future winners in the corporate bond market. We find that a momentum spillover strategy exhibits strong structural and time-varying default risk exposures that cause a drag on the profitability of the strategy and lead to large drawdowns if the market cycle turns from a bear to a bull market. By ranking companies on their firm-specific equity return, instead of their total equity return, the default risk exposures halve, the Sharpe ratio doubles and the drawdowns are substantially reduced.

Keywords: Corporate bond, Spillover, Momentum, Time-varying risk, Residual return

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426617300535

翻译：贾梦悦