Factor decomposition and diversification in European corporate bond markets

M. Pieterse-Bloem, R.J. Mahieu

Research output: Contribution to journalArticleScientificpeer-review

Abstract

In this paper we present an analysis of diversification strategies on portfolios of European corporate bonds. From the perspective of a US-based investor we study whether mean–variance diversification strategies change as a result of the introduction of the European Economic and Monetary Union (EMU). Using a comprehensive and unique data set of European corporate bonds we show that country factors are more important than industry factors to describe the cross-section of European corporate bonds. In particular we find that in the Post-EMU period country factors remain important.
Original languageEnglish
Pages (from-to)194-213
JournalJournal of International Money and Finance
Volume32
DOIs
Publication statusPublished - 2013

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Decomposition
Corporate bonds
Diversification
Factors
Bond market
Economic and monetary union
Diversification strategy
Industry
Investors
Cross section

Cite this

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Factor decomposition and diversification in European corporate bond markets. / Pieterse-Bloem, M.; Mahieu, R.J.

In: Journal of International Money and Finance, Vol. 32, 2013, p. 194-213.

Research output: Contribution to journalArticleScientificpeer-review

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