What Do We Know about Corporate Bond Returns?

Jing Zhi Huang, Zhan Shi

Research output: Contribution to journalReview articlepeer-review

4 Scopus citations


Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as time-series evidence. We then present a model-based analysis of individual corporate bond returns using the structural approach for credit risk modeling. We show, among other things, that the expected corporate bond return implied by the Merton model predicts 1-month-ahead corporate bond returns in the cross section.

Original languageEnglish (US)
Pages (from-to)363-399
Number of pages37
JournalAnnual Review of Financial Economics
StatePublished - Nov 1 2021

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


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